Testing for parameter changes in ARCH models |
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| Authors: | P Kokoszka R Leipus |
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| Institution: | (1) Department of Mathematical Sciences, The University of Liverpool, L69 3BX Liverpool, UK;(2) Vilnius University, Naugarduko 24, 2006 Vilnius, Lithuania;(3) Institute of Mathematics and Informatics, Naugarduko 24, 2006 Vilnius, Lithuania |
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| Abstract: | The paper develops the asymptotic theory for CUSUM-type tests for a change point in parameters of an ARCH(∞) model. Special
attention is given to asymptotics under local alternatives.
Research partially supported by EPSRC grant GR/L/78222 from the University of Liverpool.
Partially supported by NATO grant CRG 960503.
Partially supported by the Lithuanian State Science and Studies Foundation, Grant K-014.
Published in Lietuvos Matematikos Rinkinys, Vol. 39, No. 2, pp. 231–247, April–June, 1999. |
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| Keywords: | ARCH model change-point testing local alternatives |
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