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Score test for parameter change in Poisson autoregressive models

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  • Kang, Jiwon
  • Song, Junmo

Abstract

A score test is proposed for testing parameter change in Poisson autoregressive models. It is shown that the limiting null distribution of the score test is a function of a standard Brownian bridges. Simulation results demonstrate the validity of the proposed test. A real data analysis is provided for illustration.

Suggested Citation

  • Kang, Jiwon & Song, Junmo, 2017. "Score test for parameter change in Poisson autoregressive models," Economics Letters, Elsevier, vol. 160(C), pages 33-37.
    • Handle: RePEc:eee:ecolet:v:160:y:2017:i:c:p:33-37
    DOI: 10.1016/j.econlet.2017.08.021
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    References listed on IDEAS

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    1. William Kengne & Paul Doukhan, 2015. "Inference and testing for structural change in general Poisson autoregressive models," Post-Print hal-02979913, HAL.
    2. Donald W. K. Andrews, 2003. "Tests for Parameter Instability and Structural Change with Unknown Change Point: A Corrigendum," Econometrica, Econometric Society, vol. 71(1), pages 395-397, January.
    3. Berkes, Istvan & Horváth, Lajos & Kokoszka, Piotr, 2004. "Testing for parameter constancy in GARCH(p,q) models," Statistics & Probability Letters, Elsevier, vol. 70(4), pages 263-273, December.
    4. Jiwon Kang & Sangyeol Lee, 2009. "Parameter change test for random coefficient integer‐valued autoregressive processes with application to polio data analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 239-258, March.
    5. Paul Doukhan & William Kengne, 2015. "Inference and testing for structural change in general Poisson autoregressive models," Post-Print hal-02979929, HAL.
    6. Ilia Negri & Yoichi Nishiyama, 2017. "Z-process method for change point problems with applications to discretely observed diffusion processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(2), pages 231-250, June.
    7. Jiwon Kang & Sangyeol Lee, 2014. "Parameter Change Test for Poisson Autoregressive Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(4), pages 1136-1152, December.
    8. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
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    Cited by:

    1. Mamadou Lamine Diop & William Kengne, 2022. "Poisson QMLE for change-point detection in general integer-valued time series models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(3), pages 373-403, April.
    2. Song, Junmo & Baek, Changryong, 2019. "Detecting structural breaks in realized volatility," Computational Statistics & Data Analysis, Elsevier, vol. 134(C), pages 58-75.

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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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