The Cusum Test for Parameter Change in Regression Models with ARCH Errors
نویسندگان
چکیده
منابع مشابه
The Cusum Test for Parameter Change in Regression Models with ARCH Errors
In this paper we consider the problem of testing for a parameter change in regression models with ARCH errors based on the residual cusum test. It is shown that the limiting distribution of the residual cusum test statistic is the sup of a Brownian bridge. Through a simulation study, it is demonstrated that the proposed test circumvents the drawbacks of Kim, Cho and Lee (2000)’s cusum test. For...
متن کاملThe Cusum Test for Parameter Change in Time Series Models
In this paper, we consider the problem of testing for parameter changes in time series models based on a cusum test. Although the test procedure is well established for the mean and variance in time series models, a general parameter case has not been discussed in the literature. Therefore, here we develop a cusum test for parameter change in a more general framework. As an example, we consider...
متن کاملTest for Parameter Change in ARIMA Models
In this paper we consider the problem of testing for parameter changes in ARIMA models based on the cusum test. The proposed test procedure is applicable to testing for the change from stationary models to nonstationary models, and vice versa. The idea is to transform the time series via differencing to make the whole time series as a combination of stationary subseries. For this task, we propo...
متن کاملthe test for adverse selection in life insurance market: the case of mellat insurance company
انتخاب نامساعد یکی از مشکلات اساسی در صنعت بیمه است. که ابتدا در سال 1960، توسط روتشیلد واستیگلیتز مورد بحث ومطالعه قرار گرفت ازآن موقع تاکنون بسیاری از پژوهشگران مدل های مختلفی را برای تجزیه و تحلیل تقاضا برای صنعت بیمه عمر که تماما ناشی از عدم قطعیت در این صنعت میباشد انجام داده اند .وهدف از آن پیدا کردن شرایطی است که تحت آن شرایط انتخاب یا کنار گذاشتن یک بیمه گزار به نفع و یا زیان شرکت بیمه ...
15 صفحه اولDesign for regression models with correlated errors
The present article is a draft of a chapter in the Handbook of Design and Analysis of Experiments and provides a survey of results on experimental design for linear regression models with correlated responses.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: JOURNAL OF THE JAPAN STATISTICAL SOCIETY
سال: 2004
ISSN: 1348-6365,1882-2754
DOI: 10.14490/jjss.34.173