On Parameter Change Test for ARMA Models with Martingale Difference Errors

被引：2
|
作者：
Oh, Haejune [1 ]
Lee, Sangyeol [1 ]
机构：
[1] Seoul Natl Univ, Dept Stat, Seoul 08826, South Korea
来源：
PREDICTIVE ECONOMETRICS AND BIG DATA | 2018年 / 753卷
基金：
新加坡国家研究基金会;
关键词：
ARMA models; Parameter change test; CUSUM test; Martingale difference errors;
D O I：
10.1007/978-3-319-70942-0_17
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study considers the CUSUM test for ARMA models with stationary martingale difference errors. CUSUM tests are widely used for detecting abrupt changes in time series models. Although they perform adequately in general, their performance is occasionally unsatisfactory in ARMA models. This motivates us to design a new test that can simultaneously detect the ARMA parameter and variance changes. Its null limiting distribution is derived under regularity conditions. Monte Carlo simulations confirm the validity of the proposed test.
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页码：246 / 254
页数：9
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