Subsampling tests for variance changes in the presence of autoregressive parameter shifts

Hao Jin and Jinsuo Zhang

Journal of Multivariate Analysis, 2010, vol. 101, issue 10, 2255-2265

Abstract: In this paper, we consider the problem of testing for variance changes in the linear autoregressive processes including AR(p) processes when there are autoregressive parameter shifts. In performing a test, we employ the conventional residual CUSUM of squares test (RCUSQ) statistic. The RCUSQ test is based on the subsampling method introduced by Jach and Kokoszka (2004) [16] to eliminate the influence caused by autoregressive parameter shifts. It is shown that under regularity conditions, the test statistic behaves asymptotically the function of a standard Brownian bridge. We establish the asymptotic validity of this method and assess its performance both theoretically and numerically.

Keywords: Subsampling; Invariance; principle; Brownian; bridge; RCUSQ; test; Variance; changes; Autoregressive; parameter; shifts (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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