Score test for parameter change in Poisson autoregressive models

Jiwon Kang; Junmo Song

doi:10.1016/j.econlet.2017.08.021

Score test for parameter change in Poisson autoregressive models

Jiwon Kang
, Junmo Song

Jeju National University

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	33-37
Number of pages	5
Journal	Economics Letters
Volume	160
DOIs	https://doi.org/10.1016/j.econlet.2017.08.021
State	Published - Nov 2017

Keywords

Poisson autoregressive model
Score-based test
Test for parameter change

Access to Document

10.1016/j.econlet.2017.08.021

Cite this

@article{cc0ea849168c4d278552056661cb4221,

title = "Score test for parameter change in Poisson autoregressive models",

abstract = "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.",

keywords = "Poisson autoregressive model, Score-based test, Test for parameter change",

author = "Jiwon Kang and Junmo Song",

note = "Publisher Copyright: {\textcopyright} 2017 Elsevier B.V.",

year = "2017",

month = nov,

doi = "10.1016/j.econlet.2017.08.021",

language = "English",

volume = "160",

pages = "33--37",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Score test for parameter change in Poisson autoregressive models

AU - Kang, Jiwon

AU - Song, Junmo

PY - 2017/11

Y1 - 2017/11

N2 - 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.

AB - 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.

KW - Poisson autoregressive model

KW - Score-based test

KW - Test for parameter change

UR - https://www.scopus.com/pages/publications/85029501185

U2 - 10.1016/j.econlet.2017.08.021

DO - 10.1016/j.econlet.2017.08.021

M3 - Article

AN - SCOPUS:85029501185

SN - 0165-1765

VL - 160

SP - 33

EP - 37

JO - Economics Letters

JF - Economics Letters

ER -

Score test for parameter change in Poisson autoregressive models

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this