Monitoring structural changes with the generalized fluctuation test

In this paper we introduce the generalized fluctuation test for monitoring structural changes and establish a result characterizing the limiting behav ior of this class of tests. As applications of the generalized fluctuation test, tests based on the maximum and range of the fluctuation of moving est imates are proposed. We also derive the boundary functions for the proposed tests and tabulate simulated critical values. Our simulations indicate tha t these tests compare favorably with the recursive-estimates-based test con sidered by Chu, Stinchcombe, and White (1996, Econometrica 64, 1045-1065) w hen a change occurs late.