The Cusum Test for Parameter Change in Regression Models with ARCH Errors

By Sangyeol Lee, Yasuyoshi Tokutsu, Koichi Maekawa. 2004

88 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f45748e0c96482f92bbbaffc481ce45d389bfdae

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Sangyeol Lee
2. Jiwon Kang
3. Youngmi Lee

In Finance

1. Sangyeol Lee
2. Jiwon Kang
3. Youngmi Lee

Citations in the corpus

• Parameter Change Test for Poisson Autoregressive Models (2014, background): “Generally speaking, the merit of the residual-based approach is that it is a more stable test, as seen in Lee et al. (2004).”