TY - JOUR
T1 - Test for parameter change in ARMA models with GARCH innovations
AU - Lee, Sangyeol
AU - Song, Junmo
PY - 2008/9/15
Y1 - 2008/9/15
N2 - In this paper, we consider the problem of testing for a parameter change in ARMA models with GARCH innovations. For this purpose, we use the cusum test introduced by Lee et al. [Lee, S., Ha, J., Na, O., Na, S., 2003. The cusum test for parameter change in time series models. Scand. J. Statist. 30, 781-796]. The cusum test statistic is constructed based on the quasi-maximum likelihood estimator. It is shown that the test statistic weakly converges to the sup of the sum of the squares of independent Brownian bridges.
AB - In this paper, we consider the problem of testing for a parameter change in ARMA models with GARCH innovations. For this purpose, we use the cusum test introduced by Lee et al. [Lee, S., Ha, J., Na, O., Na, S., 2003. The cusum test for parameter change in time series models. Scand. J. Statist. 30, 781-796]. The cusum test statistic is constructed based on the quasi-maximum likelihood estimator. It is shown that the test statistic weakly converges to the sup of the sum of the squares of independent Brownian bridges.
UR - http://www.scopus.com/inward/record.url?scp=49649086224&partnerID=8YFLogxK
U2 - 10.1016/j.spl.2008.01.068
DO - 10.1016/j.spl.2008.01.068
M3 - Article
AN - SCOPUS:49649086224
SN - 0167-7152
VL - 78
SP - 1990
EP - 1998
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
IS - 13
ER -