Article ID Journal Published Year Pages File Type
7546079 Journal of the Korean Statistical Society 2018 11 Pages PDF
Abstract
The problem of testing for a parameter change has been a core issue in time series analysis. It is well known that the estimates-based CUSUM test often suffers from severe size distortions in general GARCH type models. The residual-based CUSUM test has been used as an alternative, which, however, has a defect not to detect the ARMA parameter changes in ARMA-GARCH models. As a remedy, one can employ the score vector-based CUSUM test in ARMA-GARCH models as in Oh and Lee (0000). However, it shows some size distortions for relatively small samples. Hence, we consider the bootstrap counterpart for obtaining a more stable test. Focus is made on the verification of the weak consistency of the proposed test. An empirical study is illustrated for its evaluation.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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