On Testing Changes in Autoregressive Parameters of a VAR Model

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10159328" target="_blank" >RIV/00216208:11320/13:10159328 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1080/03610926.2012.730166" target="_blank" >http://dx.doi.org/10.1080/03610926.2012.730166</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1080/03610926.2012.730166" target="_blank" >10.1080/03610926.2012.730166</a>

Result language

angličtina

Original language name

On Testing Changes in Autoregressive Parameters of a VAR Model

Original language description

The article deals with the problem of testing a change in autoregressive matrices of the p-th order vector autoregressive process, VAR(p). The proposed test statistics are based on the likelihood ratio concept and are studied under the null hypothesis ofno change in parameters. Their asymptotic behavior is derived under minimal moment assumptions in both cases where the time point of possible change is known a priori and is undefined. The Gumbel-type approximation of the test statistic is also developed, which previous papers on VAR(p) models do not cover.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BA - General mathematics

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2013

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Communications in Statistics - Theory and Methods

ISSN

0361-0926

e-ISSN

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Volume of the periodical

42

Issue of the periodical within the volume

7

Country of publishing house

US - UNITED STATES

Number of pages

19

Pages from-to

1208-1226

UT code for WoS article

000321690400006

EID of the result in the Scopus database

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