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On the cusum of squares test for variance change in nonstationary and nonparametric time series models

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  • Sangyeol Lee
  • Okyoung Na
  • Seongryong Na

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  • Sangyeol Lee & Okyoung Na & Seongryong Na, 2003. "On the cusum of squares test for variance change in nonstationary and nonparametric time series models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(3), pages 467-485, September.
  • Handle: RePEc:spr:aistmt:v:55:y:2003:i:3:p:467-485
    DOI: 10.1007/BF02517801
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    References listed on IDEAS

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    1. Wu, J. S. & Chu, C. K., 1994. "Nonparametric estimation of a regression function with dependent observations," Stochastic Processes and their Applications, Elsevier, vol. 50(1), pages 149-160, March.
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    Cited by:

    1. Marco Barassi & Lajos Horváth & Yuqian Zhao, 2020. "Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 340-349, April.
    2. Lee, Sangyeol, 2013. "A maximum entropy type test of fit: Composite hypothesis case," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 59-67.
    3. Berenguer-Rico, Vanessa & Nielsen, Bent, 2020. "Cumulated Sum Of Squares Statistics For Nonlinear And Nonstationary Regressions," Econometric Theory, Cambridge University Press, vol. 36(1), pages 1-47, February.
    4. Na, Okyoung & Lee, Sangyeol, 2007. "Moving estimates test with time varying bandwidth," Journal of Multivariate Analysis, Elsevier, vol. 98(7), pages 1356-1375, August.
    5. Badagian Baharian, Ana Laura & Kaiser Remiro, Regina & Peña Sánchez de Rivera, Daniel, 2013. "The change-point problem and segmentation of processes with conditional heteroskedasticity," DES - Working Papers. Statistics and Econometrics. WS ws131718, Universidad Carlos III de Madrid. Departamento de Estadística.

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