Score test for parameter change in Poisson autoregressive models

Jiwon Kang and Junmo Song

Economics Letters, 2017, vol. 160, issue C, 33-37

Abstract: A score test is proposed for testing parameter change in Poisson autoregressive models. It is shown that the limiting null distribution of the score test is a function of a standard Brownian bridges. Simulation results demonstrate the validity of the proposed test. A real data analysis is provided for illustration.

Keywords: Poisson autoregressive model; Test for parameter change; Score-based test (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:160:y:2017:i:c:p:33-37

DOI: 10.1016/j.econlet.2017.08.021

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