Structural changes in autoregressive models for binary time series

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10159483" target="_blank" >RIV/00216208:11320/13:10159483 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.jspi.2013.05.009" target="_blank" >http://dx.doi.org/10.1016/j.jspi.2013.05.009</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jspi.2013.05.009" target="_blank" >10.1016/j.jspi.2013.05.009</a>

Result language
angličtina
Original language name
Structural changes in autoregressive models for binary time series
Original language description
We study autoregressive models for binary time series with possible changes in their parameters. A procedure for detection and testing of a single change is suggested. The limiting behavior of the test statistic is derived. The performance of the test isanalyzed under the null hypothesis as well as under different alternatives via a simulation study. Application of the method to a real data set on US recession is provided as an illustration.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
—

Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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