CUSUM test for general nonlinear integer-valued GARCH models: comparison study

Youngmi Lee and Sangyeol Lee ()
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Youngmi Lee: Seoul National University
Sangyeol Lee: Seoul National University

Annals of the Institute of Statistical Mathematics, 2019, vol. 71, issue 5, No 2, 1033-1057

Abstract: Abstract This study considers the problem of testing a parameter change in general nonlinear integer-valued time series models where the conditional distribution of current observations is assumed to follow a one-parameter exponential family. We consider score-, (standardized) residual-, and estimate-based CUSUM tests and show that their limiting null distributions take the form of the functions of Brownian bridges. Based on the obtained results, we then conduct a comparison study of the performance of CUSUM tests through the use of Monte Carlo simulations. Our findings demonstrate that the standardized residual-based CUSUM test largely outperforms the others.

Keywords: Time series of counts; Exponential family; Autoregressive models; Parameter change test; CUSUM test; Comparison of tests (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s10463-018-0676-7

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