Coefficient constancy test in AR-ARCH models

DOI10.1016/S0167-7152(02)00051-2zbMath0996.62080OpenAlexW2006933458MaRDI QIDQ1613041

Jeongcheol Ha, Sangyeol Lee

Publication date: 5 September 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(02)00051-2

zbMATH Keywords

asymptotic normalityARCH modellocally best invariant testAR-ARCH modelRCA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

Monitoring parameter changes for random coefficient autoregressive models ⋮ Monitoring parameter changes in RCA(\(p\)) models

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