On Testing Changes in Autoregressive Parameters of a VAR Model

DOI10.1080/03610926.2012.730166zbMath1347.62183MaRDI QIDQ4929183

Marek Dvořák, Zuzana Prášková

Publication date: 13 June 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.730166

zbMATH Keywords

structural changes; hypotheses testing; VAR models

Mathematics Subject Classification ID

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

62G20: Asymptotic properties of nonparametric inference

60F17: Functional limit theorems; invariance principles

62M07: Non-Markovian processes: hypothesis testing

Related Items

Change Point Detection with Multivariate Observations Based on Characteristic Functions, A general procedure for change-point detection in multivariate time series, Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models

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