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Subsampling tests for variance changes in the presence of autoregressive parameter shifts

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  • Jin, Hao
  • Zhang, Jinsuo

Abstract

In this paper, we consider the problem of testing for variance changes in the linear autoregressive processes including AR(p) processes when there are autoregressive parameter shifts. In performing a test, we employ the conventional residual CUSUM of squares test (RCUSQ) statistic. The RCUSQ test is based on the subsampling method introduced by Jach and Kokoszka (2004) [16] to eliminate the influence caused by autoregressive parameter shifts. It is shown that under regularity conditions, the test statistic behaves asymptotically the function of a standard Brownian bridge. We establish the asymptotic validity of this method and assess its performance both theoretically and numerically.

Suggested Citation

  • Jin, Hao & Zhang, Jinsuo, 2010. "Subsampling tests for variance changes in the presence of autoregressive parameter shifts," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2255-2265, November.
    • Handle: RePEc:eee:jmvana:v:101:y:2010:i:10:p:2255-2265
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    References listed on IDEAS

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    Cited by:

    1. Jin, Hao & Zhang, Jinsuo & Zhang, Si & Yu, Cong, 2013. "The spurious regression of AR(p) infinite-variance sequence in the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 25-40.

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