Test for parameter changes in generalized random coefficient autoregressive model

DOI10.1186/1029-242X-2014-309MaRDI QIDQ257852zbMATH OpenOpenAlexWikidataFDO

Authors Zhiwen Zhao, Dehui Wang, Cui-Xin Peng

Publication date 17 March 2016

Published in Journal of Inequalities and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/1029-242x-2014-309

zbMATH Keywords

asymptotic varianceconditional least-squares estimationgeneralized random coefficient autoregressive modelmonitoring parameter changes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• A NOTE ON A MARKOV BILINEAR STOCHASTIC PROCESS IN DISCRETE TIME
• A test for a change in a parameter occurring at an unknown point
• Almost sure invariance principles for partial sums of mixing B-valued random variables
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• Coefficient constancy test in a random coefficient autoregressive model
• CONTINUOUS INSPECTION SCHEMES
• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• Inference about the change-point from cumulative sum tests
• Monitoring parameter change in AR\((p)\) time series models
• Monitoring parameter change in time series models
• Monitoring Structural Change
• On problems in which a change in a parameter occurs at an unknown point
• On strong invariance principles under dependence assumptions
• Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis
• Parameter estimation for generalized random coefficient autoregressive processes
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• The Cusum Test for Parameter Change in Time Series Models
• The Hartman-Wintner Law of the Iterated Logarithm for Martingales
• The local asymptotic normality of a class of generalized random coefficient autoregressive processes
• The monitoring test for the stability of regression models with nonstationary regressors
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• β-mixing and moment properties of RCA models with application to GARCH(p,q)

Cited in

(5)

• Testing for a change in the parameter values and order of an autoregressive model
• Coefficient constancy test in generalized random coefficient autoregressive model
• Monitoring parameter changes in RCA(\(p\)) models
• Random autoregressive models: a structured overview
• Modified tests for variance changes in autoregressive regression

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