Testing for parameter constancy in general causal time-series models

DOI10.1111/J.1467-9892.2012.00785.XMaRDI QIDQ2931597zbMATH OpenOpenAlexFDO

Authors William Charky Kengne

Publication date 26 November 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1101.5960

zbMATH Keywords

causal processeschange of parametersquasi-maximum likelihood estimatorsemiparametric testweak convergence

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We consider a process $$ belonging to a large class of causal models including AR($infty$), ARCH($infty$), TARCH($infty$),... models. We assume that the model depends on a parameter $het{a}_{0}in{R}^d$ and consider the problem of testing for change in the parameter. Two statistics $hat{Q}_n^{(1)}$ and $hat{Q}_n^{(2)}$ are constructed using quasi-likelihood estimator (QLME) of the parameter. Under the null hypothesis that there is no change, it is shown that each of these two statistics weakly converges to the supremum of the sum of the squares of independent Brownian bridges. Under the local alternative that there is one change, we show that the test statistic $$ diverges to infinity. Some simulation results for AR(1), ARCH(1) and GARCH(1,1) models are reported to show the applicability and the performance of our procedure with comparisons to some other approaches.

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Cited in

(18)

• Testing for parameter constancy in GARCH(p,q) models
• Inference for nonstationary time series of counts with application to change-point problems
• On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations
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• Tests For Constancy Of Model Parameters Over Time
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• Epidemic change-point detection in general integer-valued time series
• Parameter change test for location-scale time series models with heteroscedasticity based on bootstrap
• Detecting weak changes in the mean of a class of nonlinear heteroscedastic models

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