论文标题
顺序监测协整回归
Sequential monitoring for cointegrating regressions
论文作者
论文摘要
我们开发了监视程序，以协调回归，测试无折断的零断裂的替代方案，即斜率发生变化，或者对非组成率的变化进行了变化。在观察校准样品M的回归后，我们研究了Cusum型统计量，以检测监测范围M+1的变化的存在。我们的过程使用一类边界函数，该功能取决于一个参数，该参数会影响检测可能中断的延迟。从技术上讲，这些过程基于几乎确定的限制其推导并不简单的定理。因此，我们定义了一个监视函数，该函数在每个时间点 - 在零下下方差异到无穷大，并在替代方面漂移至零。我们将此顺序用于随机过程，以构建I.I.D.序列，然后我们采用了定义检测器函数的序列。我们的监视程序以较小的概率拒绝无断裂的零（正确），而在发生断裂的情况下，它在监视范围上拒绝了一个概率。
We develop monitoring procedures for cointegrating regressions, testing the null of no breaks against the alternatives that there is either a change in the slope, or a change to non-cointegration. After observing the regression for a calibration sample m, we study a CUSUM-type statistic to detect the presence of change during a monitoring horizon m+1,...,T. Our procedures use a class of boundary functions which depend on a parameter whose value affects the delay in detecting the possible break. Technically, these procedures are based on almost sure limiting theorems whose derivation is not straightforward. We therefore define a monitoring function which - at every point in time - diverges to infinity under the null, and drifts to zero under alternatives. We cast this sequence in a randomised procedure to construct an i.i.d. sequence, which we then employ to define the detector function. Our monitoring procedure rejects the null of no break (when correct) with a small probability, whilst it rejects with probability one over the monitoring horizon in the presence of breaks.
