Modified tests for variance changes in autoregressive regression

DOI10.1016/j.matcom.2010.02.011zbMath1208.62138OpenAlexW2049986067MaRDI QIDQ632729

Hao Jin, Jinsuo Zhang

Publication date: 25 March 2011

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2010.02.011

zbMATH Keywords

bootstrapvariance changesautoregressive parameter shiftsRCUSQ test

Mathematics Subject Classification ID

Related Items (3)

Spurious regression due to neglected of non-stationary volatility ⋮ The use of temporally aggregated data in modeling and testing a variance change in a time series ⋮ Modified tests for change points in variance in the possible presence of mean breaks

Cites Work

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