Coefficient constancy test in AR-ARCH models

DOI10.1016/S0167-7152(02)00051-2MaRDI QIDQ1613041zbMATH OpenOpenAlexFDO

Authors Jeongcheol Ha, Sangyeol Lee

Publication date 5 September 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(02)00051-2

zbMATH Keywords

AR-ARCH modelARCH modelasymptotic normalitylocally best invariant testRCA model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Further Note on Stability in a Random Coefficient Model
• ARMA MODELS WITH ARCH ERRORS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive series with random parameters
• Coefficient constancy test in a random coefficient autoregressive model
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors
• scientific article; zbMATH DE number 4043108 (Why is no real title available?)
• scientific article; zbMATH DE number 3246773 (Why is no real title available?)
• Non-Normality of the Lagrange Multiplier Statistic for Testing the Constancy of Regression Coefficients
• On the distribution of some test statistics for coefficient constancy
• Parameter estimation for generalized random coefficient autoregressive processes
• Rank tests for testing the randomness of autoregressive coefficients
• Regression-type inference in nonparametric autoregression
• Stability in a Random Coefficient Model
• Testing a time series for difference stationarity
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I

Cited in

(7)

• Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process
• Coefficient constancy test in a random coefficient autoregressive model
• Testing hypotheses on the ``drift of parameters in ARMA and ARCH models
• Monitoring parameter changes for random coefficient autoregressive models
• Coefficient constancy test in generalized random coefficient autoregressive model
• Monitoring parameter changes in RCA(\(p\)) models
• Local asymptotically optimal test in ARCH model

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