Testing for variance changes in AR(p) models based on bootstrap method

MaRDI QIDQ5382285zbMATH OpenFDO

Authors Hao Jin, Si Zhang, Yun-Feng Yang

Publication date 21 June 2019

zbMATH Keywords

structural breaksbootstrap methodRCUSQ testBrown bridge

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Asymptotic properties of parametric tests (62F05)

Recommendations

• Modified tests for variance changes in autoregressive regression
• Bootstrap procedures for variance breaks test in time series with a changing trend
• Tests for parameter changes in time series
• Modified testing for structural changes in autoregressive processes
• Subsampling tests for variance changes in the presence of autoregressive parameter shifts

Cited in

(6)

• Wild bootstrap Ljung-Box test for residuals of ARMA models robust to variance change
• Bootstrap procedures for variance breaks test in time series with a changing trend
• On change point test for ARMA-GARCH models: bootstrap approach
• Subsampling tests for variance changes in the presence of autoregressive parameter shifts
• Bootstrap tests for structural change with infinite variance observations
• Modified testing for structural changes in autoregressive processes

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