On score vector- and residual-based CUSUM tests in ARMA–GARCH models

Haejune Oh () and Sangyeol Lee ()
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Haejune Oh: Seoul National University
Sangyeol Lee: Seoul National University

Statistical Methods & Applications, 2018, vol. 27, issue 3, No 2, 385-406

Abstract: Abstract In this study, we consider the problem of testing for a parameter change in ARMA–GARCH models. We suggest two types of cumulative sum (CUSUM) tests, namely, score vector- and residual-based CUSUM tests. It is shown that under regularity conditions, their limiting null distributions are the sup of Brownian bridges. A simulation study and real data analysis are conducted for illustration.

Keywords: ARMA–GARCH models; Parameter change test; CUSUM test; Weak convergence to a Browinan bridge (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10260-017-0408-9

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