The Cusum Test for Parameter Change in Regression Models with ARCH Errors

DOI10.14490/jjss.34.173zbMath1062.62191MaRDI QIDQ4668513

Yasuyoshi Tokutsu, Koichi Maekawa, Sangyeol Lee

Publication date: 19 April 2005

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss.34.173

zbMATH Keywords

weak convergence; Brownian bridge; regression models; ARCH errors; residual cusum test

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F05: Asymptotic properties of parametric tests

Related Items

Location and scale-based CUSUM test with application to autoregressive models, Метод обнаружения структурного сдвига в модели авторегрессионной условной гетероскедастичности: случай распределения Стьюдента, On residual CUSUM statistic for PINAR(1) model in statistical design and diagnostic of control chart, Residual-based CUSUM of squares test for Poisson integer-valued GARCH models, Tests for Volatility Shifts in Garch Against Long‐Range Dependence, Monitoring parameter change for time series models with application to location-Scale heteroscedastic models, Change point test for structural vector autoregressive model via independent component analysis, Conditional quantile change test for time series based on support vector regression, Test for conditional quantile change in general conditional heteroscedastic time series models, Modified procedures for change point monitoring in linear models, Jump diffusion model with application to the Japanese stock market, The monitoring test for the stability of regression models with nonstationary regressors, Change point detection in SCOMDY models, On change point test for ARMA-GARCH models: bootstrap approach, The CUSUM of squares test for the stability of regression models with non-stationary regressors, On CUSUM test for dynamic panel models, Recent progress in parameter change test for integer-valued time series models, Test for conditional quantile change in GARCH models, On score vector- and residual-based CUSUM tests in ARMA-GARCH models, CUSUM test for general nonlinear integer-valued GARCH models: comparison study, Modified residual CUSUM test for location-scale time series models with heteroscedasticity, The Bickel--Rosenblatt test for diffusion processes, Parameter Change Test for Poisson Autoregressive Models, THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS