JOURNAL OF THE JAPAN STATISTICAL SOCIETY
Online ISSN : 1348-6365
Print ISSN : 1882-2754
ISSN-L : 1348-6365
Articles
The Cusum Test for Parameter Change in Regression Models with ARCH Errors
Sangyeol LeeYasuyoshi TokutsuKoichi Maekawa
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2004 Volume 34 Issue 2 Pages 173-188

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Abstract

In this paper we consider the problem of testing for a parameter change in regression models with ARCH errors based on the residual cusum test. It is shown that the limiting distribution of the residual cusum test statistic is the sup of a Brownian bridge. Through a simulation study, it is demonstrated that the proposed test circumvents the drawbacks of Kim et al.’s (2000) cusum test. For illustration, we apply the residual cusum test to the return of yen/dollar exchange rate data.

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© 2004 Japan Statistical Society
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