Modified tests for variance changes in autoregressive regression

DOI10.1016/J.MATCOM.2010.02.011MaRDI QIDQ632729zbMATH OpenOpenAlexFDO

Authors Hao Jin, Jinsuo Zhang

Publication date 25 March 2011

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2010.02.011

zbMATH Keywords

bootstrapvariance changesautoregressive parameter shiftsRCUSQ test

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

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Cites work

• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
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• A test for a change in a parameter occurring at an unknown point
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• Bootstrap tests for structural change with infinite variance observations
• Bootstrapping unstable first order autoregressive process with errors in the domain of attraction of stable law
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• Estimation mean change-point in ARCH models with heavy-tailed innovations
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• Subsampling tests for the mean change point with heavy-tailed innovations
• 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
• The bootstrap of the mean with arbitrary bootstrap sample size
• The change-point problem for dependent observations

Cited in

(11)

• Variance estimators in the chu‐white test for structural change
• Modified tests for change points in variance in the possible presence of mean breaks
• Bootstrap procedures for variance breaks test in time series with a changing trend
• Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models
• Testing for variance changes in AR$(p)$ models based on bootstrap method
• Subsampling tests for variance changes in the presence of autoregressive parameter shifts
• Testing for variance changes in autoregressive models with unknown order
• The use of temporally aggregated data in modeling and testing a variance change in a time series
• On the cusum of squares test for variance change in nonstationary and nonparametric time series models
• Spurious regression due to neglected of non-stationary volatility
• Modified testing for structural changes in autoregressive processes

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