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.