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A simple method of testing for cointegration subject to multiple regime changes

✍ Scribed by Vasco J Gabriel; Zacharias Psaradakis; Martin Sola

Book ID
117332259
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
248 KB
Volume
76
Category
Article
ISSN
0165-1765

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A method is described for detecting load changes and characterizing subsequent responses in single-input-single-output (SISO) feedback control loops. The method is computationally simple and suitable for on-line implementation in a controller. Load changes are detected using a statistical change det