{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,11,4]],"date-time":"2026-11-04T18:24:55Z","timestamp":1793816695665,"version":"4.6.1"},"reference-count":52,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2021,3,23]],"date-time":"2021-03-23T00:00:00Z","timestamp":1616457600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2022,4]]},"abstract":"<jats:p>We propose a sequential monitoring scheme to find structural breaks in dynamic linear models. The monitoring scheme is based on a detector and a suitably chosen boundary function. If the detector crosses the boundary function, a structural break is detected. We provide the asymptotics for the procedure under the null hypothesis of stability. The consistency of the procedure is also proved. We derive the asymptotic distribution of the stopping time under the change point alternative. Monte Carlo simulation is used to show the size and the power of our method under several conditions. As an example, we study the real estate markets in Boston and Los Angeles, and at the national U.S. level. We find structural breaks in the markets, and we segment the data into stationary segments. It is observed that the autoregressive parameter is increasing but stays below 1.<\/jats:p>","DOI":"10.1017\/s0266466621000104","type":"journal-article","created":{"date-parts":[[2021,3,23]],"date-time":"2021-03-23T08:47:36Z","timestamp":1616489256000},"page":"209-272","source":"Crossref","is-referenced-by-count":17,"title":["SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET"],"prefix":"10.1017","volume":"38","author":[{"given":"Lajos","family":"Horv\u00e1th","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Zhenya","family":"Liu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Shanglin","family":"Lu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2021,3,23]]},"reference":[{"key":"S0266466621000104_r43","doi-asserted-by":"publisher","DOI":"10.1162\/qjec.2010.125.3.1253"},{"key":"S0266466621000104_r3","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466611000673"},{"key":"S0266466621000104_r48","doi-asserted-by":"publisher","DOI":"10.1214\/009053606000001406"},{"key":"S0266466621000104_r6","volume-title":"Convergence of Probability Measures","author":"Billingsley","year":"1968"},{"key":"S0266466621000104_r36","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466617000202"},{"key":"S0266466621000104_r15","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600006800"},{"key":"S0266466621000104_r16","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466606060282"},{"key":"S0266466621000104_r19","doi-asserted-by":"publisher","DOI":"10.1007\/s11749-011-0265-z"},{"key":"S0266466621000104_r50","doi-asserted-by":"publisher","DOI":"10.1002\/jae.776"},{"key":"S0266466621000104_r29","doi-asserted-by":"publisher","DOI":"10.1016\/j.jspi.2006.09.026"},{"key":"S0266466621000104_r1","doi-asserted-by":"publisher","DOI":"10.1017\/S026646660000414X"},{"key":"S0266466621000104_r18","doi-asserted-by":"publisher","DOI":"10.1257\/089533005775196769"},{"key":"S0266466621000104_r13","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176348257"},{"key":"S0266466621000104_r37","doi-asserted-by":"publisher","DOI":"10.1111\/obes.12026"},{"key":"S0266466621000104_r25","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2019.08.010"},{"key":"S0266466621000104_r31","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600007982"},{"key":"S0266466621000104_r5","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466604206041"},{"key":"S0266466621000104_r9","first-page":"125","article-title":"The efficiency of the market for single-family homes","volume":"79","author":"Case","year":"1989","journal-title":"The American Economic Review"},{"key":"S0266466621000104_r12","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2007.06.023"},{"key":"S0266466621000104_r14","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6229.2006.00172.x"},{"key":"S0266466621000104_r49","doi-asserted-by":"publisher","DOI":"10.2307\/1926296"},{"key":"S0266466621000104_r28","doi-asserted-by":"publisher","DOI":"10.1137\/1107036"},{"key":"S0266466621000104_r30","doi-asserted-by":"publisher","DOI":"10.1080\/07474940802241082"},{"key":"S0266466621000104_r35","doi-asserted-by":"publisher","DOI":"10.1017\/9781316819302"},{"key":"S0266466621000104_r23","doi-asserted-by":"publisher","DOI":"10.1016\/j.spl.2006.12.014"},{"key":"S0266466621000104_r32","doi-asserted-by":"publisher","DOI":"10.2307\/1913102"},{"key":"S0266466621000104_r10","doi-asserted-by":"publisher","DOI":"10.1353\/eca.2004.0004"},{"key":"S0266466621000104_r24","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466606060191"},{"key":"S0266466621000104_r44","doi-asserted-by":"publisher","DOI":"10.1057\/palgrave.eej.9050001"},{"key":"S0266466621000104_r11","doi-asserted-by":"publisher","DOI":"10.2307\/2171955"},{"key":"S0266466621000104_r45","doi-asserted-by":"publisher","DOI":"10.2307\/j.ctt1287kz5"},{"key":"S0266466621000104_r38","doi-asserted-by":"publisher","DOI":"10.1111\/iere.12132"},{"key":"S0266466621000104_r2","first-page":"1043","article-title":"Dependent functional linear models with applications to monitoring structural change","volume":"24","author":"Aue","year":"2014","journal-title":"Statistica Sinica"},{"key":"S0266466621000104_r4","doi-asserted-by":"publisher","DOI":"10.1016\/j.spl.2004.01.002"},{"key":"S0266466621000104_r7","doi-asserted-by":"crossref","first-page":"149","DOI":"10.1111\/j.2517-6161.1975.tb01532.x","article-title":"Techniques for testing the constancy of regression relationships over time (with discussion)","volume":"37","author":"Brown","year":"1975","journal-title":"Journal of the Royal Statistical Society: Series B"},{"key":"S0266466621000104_r20","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbr009"},{"key":"S0266466621000104_r21","doi-asserted-by":"publisher","DOI":"10.1214\/09-AOS768"},{"key":"S0266466621000104_r40","doi-asserted-by":"publisher","DOI":"10.3982\/QE82"},{"key":"S0266466621000104_r33","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90104-Y"},{"key":"S0266466621000104_r27","first-page":"711","article-title":"Some limit theorems for strict-sense stationary stochastic processes (in Russian)","volume":"125","author":"Ibragimov","year":"1959","journal-title":"Doklady Akademii Nauk SSSR"},{"key":"S0266466621000104_r39","doi-asserted-by":"publisher","DOI":"10.1111\/iere.12131"},{"key":"S0266466621000104_r41","doi-asserted-by":"publisher","DOI":"10.1257\/aer.99.2.406"},{"key":"S0266466621000104_r8","doi-asserted-by":"publisher","DOI":"10.1080\/02331888.2019.1593987"},{"key":"S0266466621000104_r46","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466607070442"},{"key":"S0266466621000104_r51","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6229.12119"},{"key":"S0266466621000104_r52","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9868.2012.01044.x"},{"key":"S0266466621000104_r47","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600006289"},{"key":"S0266466621000104_r34","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600166022"},{"key":"S0266466621000104_r42","doi-asserted-by":"publisher","DOI":"10.2307\/1427090"},{"key":"S0266466621000104_r22","doi-asserted-by":"publisher","DOI":"10.1016\/j.jspi.2003.07.014"},{"key":"S0266466621000104_r26","doi-asserted-by":"publisher","DOI":"10.1007\/s00184-011-0347-7"},{"key":"S0266466621000104_r17","first-page":"167","article-title":"Superstar cities","volume":"5","author":"Gyourko","year":"2013","journal-title":"American Economic Journal: Economic Policy"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466621000104","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,8,26]],"date-time":"2024-08-26T16:22:19Z","timestamp":1724689339000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466621000104\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2021,3,23]]},"references-count":52,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2022,4]]}},"alternative-id":["S0266466621000104"],"URL":"https:\/\/doi.org\/10.1017\/s0266466621000104","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2021,3,23]]}}}