Test for parameter change in ARMA models with GARCH innovations

DOI10.1016/j.spl.2008.01.068zbMath1147.62074OpenAlexW1984746506MaRDI QIDQ947213

Sangyeol Lee, Junmo Song

Publication date: 29 September 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.01.068

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15) Non-Markovian processes: hypothesis testing (62M07)

Related Items (13)

Parameter change test for autoregressive conditional duration models ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ On the test of the volatility proxy model ⋮ Parameter change tests for ARMA-GARCH models ⋮ Testing for parameter constancy in general causal time-series models ⋮ Sequential change point detection in ARMA-GARCH models ⋮ A general procedure for change-point detection in multivariate time series ⋮ A test for parameter change in general causal time series using quasi-likelihood estimator ⋮ Copula parameter change test for nonlinear AR models with nonlinear GARCH errors ⋮ Change point detection in copula ARMA–GARCH Models ⋮ On change point test for ARMA-GARCH models: bootstrap approach ⋮ On score vector- and residual-based CUSUM tests in ARMA-GARCH models ⋮ Modified residual CUSUM test for location-scale time series models with heteroscedasticity

Cites Work

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• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
• The Cusum Test for Parameter Change in Time Series Models
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model

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