Test for parameter change in ARMA models with GARCH innovations

Sangyeol Lee; Junmo Song

doi:10.1016/j.spl.2008.01.068

Test for parameter change in ARMA models with GARCH innovations

Sangyeol Lee
, Junmo Song

Seoul National University

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

20 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	1990-1998
Number of pages	9
Journal	Statistics and Probability Letters
Volume	78
Issue number	13
DOIs	https://doi.org/10.1016/j.spl.2008.01.068
State	Published - 15 Sep 2008

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10.1016/j.spl.2008.01.068

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abstract = "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.",

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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.

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VL - 78

SP - 1990

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JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 13

ER -

Test for parameter change in ARMA models with GARCH innovations

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