On testing changes in autoregressive parameters of a VAR model

DOI10.1080/03610926.2012.730166MaRDI QIDQ4929183zbMATH OpenOpenAlexFDO

Authors 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

hypotheses testingstructural changesVAR models

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models
• scientific article; zbMATH DE number 233049
• Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
• Change point detection in vector autoregression.
• Change detection in autoregressive time series

Cites work

• Almost sure invariance principles for partial sums of mixing B-valued random variables
• ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
• Change-point estimation in ARCH models
• Estimating and Testing Structural Changes in Multivariate Regressions
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• On the detection of changes in autoregressive time series. I: Asymptotics.
• Stochastic Limit Theory
• Testing for a change in the parameter values and order of an autoregressive model
• Testing For and Dating Common Breaks in Multivariate Time Series
• Tests for a change-point
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The maximum likelihood method for testing changes in the parameters of normal observations

Cited in

(16)

• Testing for a change in the parameter values and order of an autoregressive model
• Testing for nonzero impulse responses in vector autoregressive processes
• Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise
• CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns
• Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models
• Change point detection in vector autoregression.
• Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
• Some tests for parameter constancy in cointegrated VAR‐models
• Change Point Detection with Multivariate Observations Based on Characteristic Functions
• Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes
• Testing for variance changes in autoregressive models with unknown order
• scientific article; zbMATH DE number 233049 (Why is no real title available?)
• Subsampling tests for variance changes in the presence of autoregressive parameter shifts
• A general procedure for change-point detection in multivariate time series
• Modified tests for variance changes in autoregressive regression
• A partial review on testing for change points in autoregressive time series models

This page was built for publication: On testing changes in autoregressive parameters of a VAR model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4929183)