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

autoregressive parameter shiftsbootstrapRCUSQ testvariance changes

Mathematics Subject Classification ID

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

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Cites work

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• Asymptotic behavior of least-squares estimates for autoregressive processes with infinite variances
• 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
• Change-point in the mean of dependent observations
• Estimation mean change-point in ARCH models with heavy-tailed innovations
• 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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• 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 bootstrap of the mean with arbitrary bootstrap sample size
• The change-point problem for dependent observations
• 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

(11)

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

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