On Testing Changes in Autoregressive Parameters of a VAR Model

DOI10.1080/03610926.2012.730166zbMath1347.62183OpenAlexW2014450927MaRDI QIDQ4929183

Marek Dvořák, Zuzana Prášková

Publication date: 13 June 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.730166

zbMATH Keywords

structural changeshypotheses testingVAR models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

A general procedure for change-point detection in multivariate time series ⋮ Change Point Detection with Multivariate Observations Based on Characteristic Functions ⋮ Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models

Cites Work

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• The maximum likelihood method for testing changes in the parameters of normal observations
• On the detection of changes in autoregressive time series. I: Asymptotics.
• Almost sure invariance principles for partial sums of mixing B-valued random variables
• Change-point estimation in ARCH models
• Testing for a change in the parameter values and order of an autoregressive model
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests for a change-point
• Testing For and Dating Common Breaks in Multivariate Time Series
• Stochastic Limit Theory
• ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
• Estimating and Testing Structural Changes in Multivariate Regressions

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