@article{FARHANI_2012, title={Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model)}, volume={2}, url={https://www.econjournals.com/index.php/ijefi/article/view/173}, abstractNote={<p>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).</p><p><strong>Keywords:</strong> Tests of parameters instability; Structural change; Breakpoints; ARMA model; SLRM.</p><p><strong>JEL Classifications:</strong> C22; G12; Q43</p>}, number={3}, journal={International Journal of Economics and Financial Issues}, author={FARHANI, Sahbi}, year={2012}, month={May}, pages={246–266} }