Test for parameter changes in generalized random coefficient autoregressive model

Abstract

In this paper, we study the problem of testing for parameter changes in generalized random coefficient autoregressive model (GRCA). The testing method is based on the monitoring scheme proposed by Na et al. (Stat. Methods Appl. 20:171-199, 2011), and the test statistic relies on the conditional least-squares estimator of an unknown parameter. Furthermore, under mild conditions, we obtain the asymptotic property of the test statistic. Some simulation studies are also conducted to investigate the finite sample performances of the proposed test. MSC: Primary 62M10; secondary 91B62

Random autoregressive models: A structured overview

“…The literature on tests for GRCA, moreover, includes tests for stationarity and ergodicity in GRCA(1) (Zhao and Wang, 2012;Zhao et al, 2015), and for parameters change (Zhao et al, 2013(Zhao et al, , 2014. In another publication an approach to variable selection is also proposed (Zhao et al, 2018).…”