Modified Testing for Structural Changes in Autoregressive Processes

摘要

In this paper,we consider the problem of detecting for structural changes in the autoregressive processes including AR(p) process.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 [J.Methodology and Computing in Applied Probability 25(2004)].It is shown that under regularity conditions,the asymptotic distribution of the test statistic is the function of a standard Brownian bridge.Simulation results as to AR(1) process and an example of real data analysis are provided for illustration.