Score test for parameter change in Poisson autoregressive models

- We study the score test for parameter change in Poisson AR models.
- We derive the limiting null distribution of the score test.
- Simulation results demonstrate the validity of the proposed test.

A score test is proposed for testing parameter change in Poisson autoregressive models. It is shown that the limiting null distribution of the score test is a function of a standard Brownian bridges. Simulation results demonstrate the validity of the proposed test. A real data analysis is provided for illustration.