Testing for intercept-scale switch in linear autoregression

DOI10.1002/cjs.11137zbMath1281.62199OpenAlexW2084126948MaRDI QIDQ2856549

Hajo Holzmann, F. Ketterer

Publication date: 29 October 2013

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11137

zbMATH Keywords

likelihood ratio testtime seriesswitching autoregression

Mathematics Subject Classification ID

Related Items (3)

EM-test for homogeneity in a two-sample problem with a mixture structure ⋮ Testing homogeneity in a scale mixture of normal distributions ⋮ Testing for intercept-scale switch in linear autoregression

Cites Work

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• Testing normality in autoregressive models
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• The likelihood ratio test for the number of components in a mixture with Markov regime
• Testing for Regime Switching

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