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In this paper, we consider the problem of testing for a param- eter change in nonlinear time series models with GARCH type errors. We introduce two types of cumulative sum (CUSUM) tests: estimates-based and residual-based tests. It is shown that under regularity conditions, their limiting null distributions are the sup of independent Brownian bridges. A simulation study is conducted for illustration.
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참고문헌 (21)
참고문헌 신청
D. B. H. Cline / 2007 / Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models / Adv. Appl. Probab 39 : 462 ~ 491
D. Kristensen / 2005 / Asymptotics of the QMLE for a class of ARCH(q) models / Econometric Theory 21 (5) : 946 ~ 961
D. Straumann / 2006 / Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach / Ann. Statist 34 (5) : 24
F. Chan / 2002 / Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence / J. Appl. Econometrics 17 : 509 ~ 534
F. Chan / 2010 / Structure and asymptotic theory for nonlin-ear models with GARCH errors
D. Kristensen / 2005 / Asymptotics of the QMLE for a class of ARCH(q) models / Econometric Theory 21 (5) : 946 ~ 961
D. Straumann / 2006 / Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach / Ann. Statist 34 (5) : 24
F. Chan / 2002 / Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence / J. Appl. Econometrics 17 : 509 ~ 534
F. Chan / 2010 / Structure and asymptotic theory for nonlin-ear models with GARCH errors
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