THE CUSUM TEST FOR PARAMETER CHANGE IN REGRESSION MODELS WITH ARCH ERRORS

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概要

• 論文の詳細を見る

• In this paper we consider the problem of testing for a parameter change in regression models with ARCH errors based on the residual cusum test. It is shown that the limiting distribution of the residual cusum test statistic is the sup of a Brownian bridge. Through a simulation study, it is demonstrated that the proposed test circumvents the drawbacks of Kim et al.'s (2000) cusum test. For illustration, we apply the residual cusum test to the return of yen/dollar exchange rate data.

• 一般社団法人日本統計学会の論文

著者

• Tokutsu Yasuyoshi

  Center For Research On Regional Economic Systems Hiroshima University

• Lee Sangyeol

  Department Of Physical Therapy Gimhae College

• Maekawa Koichi

  Faculty Of Economics Hiroshima University

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