Score test for parameter change in Poisson autoregressive models

DOI10.1016/J.ECONLET.2017.08.021zbMath1398.62305OpenAlexW2748738865MaRDI QIDQ1786737

Junmo Song, Jiwon Kang

Publication date: 25 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.08.021

zbMATH Keywords

Poisson autoregressive modeltest for parameter changescore-based test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03)

Related Items (3)

Poisson QMLE for change-point detection in general integer-valued time series models ⋮ A robust approach for testing parameter change in Poisson autoregressive models ⋮ Detecting structural breaks in realized volatility

Cites Work

• Unnamed Item
• Inference and testing for structural change in general Poisson autoregressive models
• Absolute regularity and ergodicity of Poisson count processes
• Testing for parameter constancy in GARCH\((p,q)\) models
• \(Z\)-process method for change point problems with applications to discretely observed diffusion processes
• Parameter Change Test for Poisson Autoregressive Models
• Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis
• Tests for Parameter Instability and Structural Change With Unknown Change Point

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