Subsampling tests for variance changes in the presence of autoregressive parameter shifts
AbstractIn 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)  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.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 101 (2010)
Issue (Month): 10 (November)
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