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The Cusum Test for Parameter Change in Time Series Models

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  • Sangyeol Lee
  • Jeongcheol Ha
  • Okyoung Na
  • Seongryong Na

Abstract

. In this paper, we consider the problem of testing for parameter changes in time series models based on a cusum test. Although the test procedure is well established for the mean and variance in time series models, a general parameter case has not been discussed in the literature. Therefore, here we develop a cusum test for parameter change in a more general framework. As an example, we consider the change of the parameters in a random coeefficient autoregressive (1) model and that of the autocovariances of a linear process. Simulation results are reported for illustration.

Suggested Citation

  • Sangyeol Lee & Jeongcheol Ha & Okyoung Na & Seongryong Na, 2003. "The Cusum Test for Parameter Change in Time Series Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(4), pages 781-796, December.
    • Handle: RePEc:bla:scjsta:v:30:y:2003:i:4:p:781-796
    DOI: 10.1111/1467-9469.00364
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