On score vector- and residual-based CUSUM tests in ARMA–GARCH models
Tóm tắt
In this study, we consider the problem of testing for a parameter change in ARMA–GARCH models. We suggest two types of cumulative sum (CUSUM) tests, namely, score vector- and residual-based CUSUM tests. It is shown that under regularity conditions, their limiting null distributions are the sup of Brownian bridges. A simulation study and real data analysis are conducted for illustration.
Tài liệu tham khảo
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