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Tests for a Structural Break for Nonnegative Integer-Valued Time Series

In: Research Papers in Statistical Inference for Time Series and Related Models

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  • Yuichi Goto

    (Kyushu University)

Abstract

We investigate tests for a structural break for nonnegative integer-valued time series. This topic has been intensively studied in recent years. We deal with the model whose conditional expectation is endowed with dependence structures. Unknown parameters of the model are estimated by an M-estimator. Then, we study three types of test statistics: the Wald type, score type, and residual type. First, we show the asymptotic null distributions of these three test statistics, which enable us to construct asymptotically size $$\alpha $$ α tests. Next, we show the consistency of the tests, that is, the power of the tests converges to one as sample size increases. Finally, numerical study illustrates the finite-sample performance of the tests.

Suggested Citation

  • Yuichi Goto, 2023. "Tests for a Structural Break for Nonnegative Integer-Valued Time Series," Springer Books, in: Yan Liu & Junichi Hirukawa & Yoshihide Kakizawa (ed.), Research Papers in Statistical Inference for Time Series and Related Models, chapter 0, pages 173-194, Springer.
    • Handle: RePEc:spr:sprchp:978-981-99-0803-5_7
    DOI: 10.1007/978-981-99-0803-5_7
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