Modified testing for structural changes in autoregressive processes

DOI10.3770/J.ISSN:1000-341X.2011.01.009MaRDI QIDQ3109256zbMATH OpenFDO

Authors Hao Jin, Zheng Tian, Yun-Feng Yang

Publication date 27 January 2012

Full work available at URL https://doi.org/10.3770/J.ISSN:1000-341X.2011.01.009

zbMATH Keywords

Brownian bridgesubsampling

Mathematics Subject Classification ID

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

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• Modified tests for variance changes in autoregressive regression
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Cited in

(8)

• Testing for a change in the parameter values and order of an autoregressive model
• Local Fourier tests for structural change based on residuals
• Testing for variance changes in AR$(p)$ models based on bootstrap method
• Testing for structural change of AR model to threshold AR model
• An empirical-likelihood-based structural-change test for INAR processes
• A modified CUSUM test for orthogonal structural changes
• Subsampling tests for variance changes in the presence of autoregressive parameter shifts
• Modified tests for variance changes in autoregressive regression

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