Moving estimates test with time varying bandwidth

Okyoung Na and Sangyeol Lee

Journal of Multivariate Analysis, 2007, vol. 98, issue 7, 1356-1375

Abstract: In this paper, we consider the problem of testing for parameter changes in time series models based on a moving estimates (ME) test. It is widely accepted that detecting some changes, for instance, those caused by temporary parameter shifts by the existing cusum test is difficult. A MV test with a fixed bandwidth has been developed to circumvent the defect, but the test still does not perform well under certain conditions. Motivated by this, we propose a MV test with a time varying bandwidth to outperform the original test. In order to illustrate our findings, we have provided simulation results.

Keywords: Test; for; parameter; change; Moving; estimates; test; Cusum; test; Time; series; Strong; mixing; processes (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (3)

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