Moving Estimates Test for Jumps in Time Series Models

Title & Authors
Moving Estimates Test for Jumps in Time Series Models
Na, O-Kyoung; Lee, Seon-Joo; Lee, Sang-Yeol; Choi, In-Bong;

Abstract
In this paper, we consider the problem of testing for a change of the parameter function $\small{{\theta}(t)}$ that may have a discontinuity at some unknown point $\small{{\tau}}$. We introduce a varying-h moving estimate to test the null hypothesis that $\small{{\theta}(t)}$ is continuous against the alternative that $\small{{\theta}({\tau}-){\neq}{\theta}({\tau}+)}$. Simulation results are provided for illustration.
Keywords
CUSUM test;MOSUM test;Varying-h Moving Estimates;Jump points;
Language
English
Cited by
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