PARAMETER CHANGE TEST FOR NONLINEAR TIME SERIES MODELS WITH GARCH TYPE ERRORS

DOI QR코드

DOI QR Code

Lee, Jiyeon;Lee, Sangyeol

  • 투고 : 2014.07.25
  • 발행 : 2015.05.01

초록

In this paper, we consider the problem of testing for a parameter change in nonlinear time series models with GARCH type errors. We introduce two types of cumulative sum (CUSUM) tests: estimates-based and residual-based tests. It is shown that under regularity conditions, their limiting null distributions are the sup of independent Brownian bridges. A simulation study is conducted for illustration.

키워드

nonlinear time series models with GARCH type errors;parameter change;CUSUM test;weak convergence to a Brownian bridge

참고문헌

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피인용 문헌

  1. 1. How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models 2017, doi:10.4134/JKMS.2015.52.3.503
  2. 2. Parameter change test for zero-inflated generalized Poisson autoregressive models vol.50, pp.3, 2016, doi:10.4134/JKMS.2015.52.3.503

과제정보

연구 과제 주관 기관 : National Research Foundation of Korea(NRF)