Test of parameter changes in a class of observation-driven models for count time series

Yunwei Cui and Rongning Wu

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 8, 1933-1959

Abstract: This paper investigates the parameter-change tests for a class of observation-driven models for count time series. We propose two cumulative sum (CUSUM) test procedures for detection of changes in model parameters. Under regularity conditions, the asymptotic null distributions of the test statistics are established. In addition, the integer-valued generalized autoregressive conditional heteroskedastic (INGARCH) processes with conditional negative binomial distributions are investigated. The developed techniques are examined through simulation studies and also are illustrated using an empirical example.

Date: 2020
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DOI: 10.1080/03610926.2019.1565843

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