Modified tests for variance changes in autoregressive regression
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Publication:632729
DOI10.1016/J.MATCOM.2010.02.011zbMATH Open1208.62138OpenAlexW2049986067MaRDI QIDQ632729FDOQ632729
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
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Cites Work
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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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