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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 of no 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.
  • 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 of no 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. (en)
Title
  • On Testing Changes in Autoregressive Parameters of a VAR Model
  • On Testing Changes in Autoregressive Parameters of a VAR Model (en)
skos:prefLabel
  • On Testing Changes in Autoregressive Parameters of a VAR Model
  • On Testing Changes in Autoregressive Parameters of a VAR Model (en)
skos:notation
  • RIV/00216208:11320/13:10159328!RIV14-MSM-11320___
http://linked.open...avai/riv/aktivita
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  • S
http://linked.open...iv/cisloPeriodika
  • 7
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  • 93831
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  • RIV/00216208:11320/13:10159328
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  • VAR models; Structural changes; Hypotheses testing (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • US - Spojené státy americké
http://linked.open...ontrolniKodProRIV
  • [1CA361FFCFAD]
http://linked.open...i/riv/nazevZdroje
  • Communications in Statistics - Theory and Methods
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  • 42
http://linked.open...iv/tvurceVysledku
  • Dvořák, Marek
  • Prášková, Zuzana
http://linked.open...ain/vavai/riv/wos
  • 000321690400006
issn
  • 0361-0926
number of pages
http://bibframe.org/vocab/doi
  • 10.1080/03610926.2012.730166
http://localhost/t...ganizacniJednotka
  • 11320
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