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

DOI10.1016/J.JMVA.2010.04.010MaRDI QIDQ604339zbMATH OpenOpenAlexFDO

Authors 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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• Modified tests for variance changes in autoregressive regression
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Cites work

• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
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• Change detection in autoregressive time series
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• Estimation mean change-point in ARCH models with heavy-tailed innovations
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Maximum likelihood estimation of a change-point in the distribution of independent random variables: general multiparameter case
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Subsampling unit root tests for heavy-tailed observations
• Testing for a change in the parameter values and order of an autoregressive model
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(5)

• The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks
• Testing for variance changes in AR$(p)$ models based on bootstrap method
• A test for the equality of monotone transformations of two random variables
• Modified tests for variance changes in autoregressive regression
• Modified testing for structural changes in autoregressive processes

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