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Testing for parameter stability in nonlinear autoregressive models

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  • Claudia Kirch
  • Joseph Tadjuidje Kamgaing

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  • Claudia Kirch & Joseph Tadjuidje Kamgaing, 2012. "Testing for parameter stability in nonlinear autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(3), pages 365-385, May.
    • Handle: RePEc:bla:jtsera:v:33:y:2012:i:3:p:365-385
    DOI: j.1467-9892.2011.00764.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-9892.2011.00764.x
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    Cited by:

    1. Cho, Haeran & Kirch, Claudia, 2024. "Data segmentation algorithms: Univariate mean change and beyond," Econometrics and Statistics, Elsevier, vol. 30(C), pages 76-95.
    2. Hong, Yongmiao & Linton, Oliver & McCabe, Brendan & Sun, Jiajing & Wang, Shouyang, 2024. "Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach," Journal of Econometrics, Elsevier, vol. 238(2).
    3. Maria Mohr & Leonie Selk, 2020. "Estimating change points in nonparametric time series regression models," Statistical Papers, Springer, vol. 61(4), pages 1437-1463, August.
    4. Haejune Oh & Sangyeol Lee, 2019. "Modified residual CUSUM test for location-scale time series models with heteroscedasticity," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(5), pages 1059-1091, October.
    5. Leonie Selk & Natalie Neumeyer, 2013. "Testing for a Change of the Innovation Distribution in Nonparametric Autoregression: The Sequential Empirical Process Approach," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 770-788, December.
    6. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.

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