Monitoring changes in the error distribution of autoregressive models based on Fourier methods
We develop a procedure for monitoring changes in the error distribution of autoregressive time series while controlling the overall size of the sequential test. The proposed procedure, unlike standard procedures which are also referred to, utilizes the empirical characteristic function of properly estimated residuals. The limit behavior of the test statistic is investigated under the null hypothesis as well as under alternatives. Since the asymptotic null distribution contains unknown parameters, a bootstrap procedure is proposed in order to actually perform the test and corresponding results on the finite–sample performance of the new method are presented. As it turns out the procedure is not only able to detect distributional changes but also changes in the regression coefficient. Copyright Sociedad de Estadística e Investigación Operativa 2012
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 21 (2012)
Issue (Month): 4 (December)
|Contact details of provider:|| Web page: http://www.springerlink.com/link.asp?id=120411|
|Order Information:||Web: http://link.springer.de/orders.htm|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Tenreiro, Carlos, 2009. "On the choice of the smoothing parameter for the BHEP goodness-of-fit test," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 1038-1053, February.
- Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
- Einmahl, J.H.J. & McKeague, I.W., 2003. "Empirical likelihood based hypothesis testing," Other publications TiSEM 2ddb34d8-8ae7-46e3-8004-c, Tilburg University, School of Economics and Management.
- Yao, Yi-Ching, 1990. "On the asymptotic behavior of a class of nonparametric tests for a change-point problem," Statistics & Probability Letters, Elsevier, vol. 9(2), pages 173-177, February.
- Epps, T. W., 1999. "Limiting behavior of the ICF test for normality under Gram-Charlier alternatives," Statistics & Probability Letters, Elsevier, vol. 42(2), pages 175-184, April.
When requesting a correction, please mention this item's handle: RePEc:spr:testjl:v:21:y:2012:i:4:p:605-634. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)or (Christopher F Baum)
If references are entirely missing, you can add them using this form.