Test of parameter changes in a class of observation-driven models for count time series |
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Authors: | Yunwei Cui Rongning Wu |
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Affiliation: | 1. Department of Mathematics, Towson University, Towson, Maryland, USA;2. ycui@towson.edu rongning.wu@baruch.cuny.edu;4. Zicklin School of Business, Baruch College, The City University of New York, New York, New York, USA |
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Abstract: | AbstractThis paper investigates the parameter-change tests for a class of observation-driven models for count time series. We propose two cumulative sum (CUSUM) test procedures for detection of changes in model parameters. Under regularity conditions, the asymptotic null distributions of the test statistics are established. In addition, the integer-valued generalized autoregressive conditional heteroskedastic (INGARCH) processes with conditional negative binomial distributions are investigated. The developed techniques are examined through simulation studies and also are illustrated using an empirical example. |
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Keywords: | Diagnostic tests change-point detection negative binomial INGARCH model nonlinear models time series of counts |
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