Testing for structural change of AR model to threshold AR model

DOI10.1111/j.1467-9892.2010.00714.xzbMath1294.62190OpenAlexW2118534466MaRDI QIDQ5495700

Johannes Schauer, Lajos Horváth, Shiqing Ling, István Berkes

Publication date: 6 August 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00714.x

zbMATH Keywords

likelihood ratio teststructural changemarked empirical processAR modelthreshold AR model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (9)

Empirical likelihood for change point detection in autoregressive models ⋮ Limit theory for moderate deviations from a unit root with a break in variance ⋮ Non identification of structural change in non stationary AR(1) models ⋮ STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS ⋮ A Bayesian detection of structural changes in autoregressive time series models ⋮ Trimmed stable AR(1) processes ⋮ Inference for post-change parameters after sequential CUSUM test under AR(1) model ⋮ Asymptotic Inferences for an AR(1) Model with a Change Point and Possibly Infinite Variance ⋮ Quasi-likelihood estimation of structure-changed threshold double autoregressive models

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