MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST
提出广义波动检验方法用于监测结构变化，推导了基于移动估计波动的最大和范围的检验统计量，并模拟了临界值。模拟表明，当变化发生在后期时，该方法优于Chu等人（1996）的递归估计检验。
In this paper we introduce the generalized fluctuation test for monitoring structural changes and establish a result characterizing the limiting behavior of this class of tests. As applications of the generalized fluctuation test, tests based on the maximum and range of the fluctuation of moving estimates are proposed. We also derive the boundary functions for the proposed tests and tabulate simulated critical values. Our simulations indicate that these tests compare favorably with the recursive-estimates-based test considered by Chu, Stinchcombe, and White (1996, Econometrica 64, 1045–1065) when a change occurs late.