Journal of the Korean Mathematical Society (대한수학회지)

Korean Mathematical Society (대한수학회)
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PARAMETER CHANGE TEST FOR NONLINEAR TIME SERIES MODELS WITH GARCH TYPE ERRORS

  • Lee, Jiyeon (Department of Statistics Seoul National University) ;
  • Lee, Sangyeol (Department of Statistics Seoul National University)
  • Received : 2014.07.25
  • Published : 2015.05.01
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Abstract

In this paper, we consider the problem of testing for a parameter 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.

Keywords

Acknowledgement

Supported by : National Research Foundation of Korea(NRF)

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