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

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