Subsampling tests for variance changes in the presence of autoregressive parameter shifts

DOI10.1016/J.JMVA.2010.04.010zbMATH Open1198.62096OpenAlexW2017542078MaRDI QIDQ604339FDOQ604339

Hao Jin, Jinsuo Zhang

Publication date: 10 November 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.04.010

zbMATH Keywords

subsamplingBrownian bridgeinvariance principlevariance changesautoregressive parameter shiftsRCUSQ test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

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Cited In (3)

• The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks
• A test for the equality of monotone transformations of two random variables
• Modified tests for variance changes in autoregressive regression

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• On testing changes in autoregressive parameters of a VAR model 👍 👎

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