Tests of Parameters Instability Theoretical Study and…参数不稳定性理论研究和.pdfVIP

International Journal of Economics and Financial Issues Vol. 2, No. 3, 2012, pp.246-266 ISSN: 2146-4138 Tests of Parameters Instability: Theoretical Study and Empirical Analysis on Two Types of Models (ARMA Model and Market Model) Sahbi FARHANI Faculty of Economic Sciences and Management of Tunis, University of Tunis El Manar, Tunisia. Tel: (+216 E-mail: sahbi_1984@yahoo.fr Abstract: This paper considers tests of parameters instability and structural change with known, unknown or multiple breakpoints. The results apply to a wide class of parametric models that are suitable for estimation by strong rules for detecting the number of breaks in a time series. For that, we use Chow, CUSUM, CUSUM of squares, Wald, likelihood ratio and Lagrange multiplier tests. Each test implicitly uses an estimate of a change point. We conclude with an empirical analysis on two different models (ARMA model and simple linear regression model “SLRM”). Keywords: Tests of parameters instability; Structural change; Breakpoints; ARMA model; SLRM. JEL Classifications: C22; Q43; G12 1. Introduction The econometric analysis of time series is considered as an exclusive branch of econometrics. The latter is a relatively young discipline but the time series have been used before in many fields such as meteorology, astronomy, biology, economics, etc. The utility of time series consists to study variables over time and to examine the statistical analysis of observations regularly spaced in time. In fact, this study appears to have reached maturity during the 70s where signific