Monitoring changes in the error distribution of autoregressive models based on Fourier methods

Zdeněk Hlávka (), Marie Hušková (), Claudia Kirch () and Simos Meintanis ()

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2012, vol. 21, issue 4, 605-634

Abstract: We develop a procedure for monitoring changes in the error distribution of autoregressive time series while controlling the overall size of the sequential test. The proposed procedure, unlike standard procedures which are also referred to, utilizes the empirical characteristic function of properly estimated residuals. The limit behavior of the test statistic is investigated under the null hypothesis as well as under alternatives. Since the asymptotic null distribution contains unknown parameters, a bootstrap procedure is proposed in order to actually perform the test and corresponding results on the finite–sample performance of the new method are presented. As it turns out the procedure is not only able to detect distributional changes but also changes in the regression coefficient. Copyright Sociedad de Estadística e Investigación Operativa 2012

Keywords: Empirical characteristic function; Change point analysis; 62M10; 62G10; 62G20 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://hdl.handle.net/10.1007/s11749-011-0265-z (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:testjl:v:21:y:2012:i:4:p:605-634

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/11749/PS2

DOI: 10.1007/s11749-011-0265-z

Access Statistics for this article

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research is currently edited by Alfonso Gordaliza and Ana F. Militino

More articles in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research from Springer, Sociedad de Estadística e Investigación Operativa
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().