Search Results - subject:"Test for parameter change"

Score test for parameter change in Poisson autoregressive models

Kang, Jiwon; Song, Junmo - In: Economics letters 160 (2017), pp. 33-37

Persistent link: https://www.econbiz.de/10011903734

The Cusum Test for Parameter Change in Regression with ARCH Errors

Maekawa, Koichi; Sangyeol; Lee - Econometric Society - 2004

In this paper, we concentrate ourselves on Inclán and Tiao (1994)'s cusum test in regression models with ARCH errors. The ARCH and GARCH models have long been popular in financial time series analysis. For a general review, see Gouriéroux (1997).Inclán and Tiao (1994)'s cusum test was...

Persistent link: https://www.econbiz.de/10005130233

Test for parameter change in discretely observed diffusion processes

Song, Junmo; Lee, Sangyeol - In: Statistical Inference for Stochastic Processes 12 (2009) 2, pp. 165-183

Persistent link: https://www.econbiz.de/10005004374

Test for Parameter Change in Diffusion Processes by Cusum Statistics Based on One-step Estimators

Lee, Sangyeol; Nishiyama, Yoichi; Yoshida, Nakahiro - In: Annals of the Institute of Statistical Mathematics 58 (2006) 2, pp. 211-222

Persistent link: https://www.econbiz.de/10005169241