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Moving Estimates Test for Jumps in Time Series Models
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 Title & Authors
Moving Estimates Test for Jumps in Time Series Models
Na, O-Kyoung; Lee, Seon-Joo; Lee, Sang-Yeol; Choi, In-Bong;
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In this paper, we consider the problem of testing for a change of the parameter function that may have a discontinuity at some unknown point . We introduce a varying-h moving estimate to test the null hypothesis that is continuous against the alternative that . Simulation results are provided for illustration.
CUSUM test;MOSUM test;Varying-h Moving Estimates;Jump points;
 Cited by
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