Abstract
The paper develops the asymptotic theory for CUSUM-type tests for a change point in parameters of an ARCH(∞) model. Special attention is given to asymptotics under local alternatives.
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Research partially supported by EPSRC grant GR/L/78222 from the University of Liverpool.
Partially supported by NATO grant CRG 960503.
Partially supported by the Lithuanian State Science and Studies Foundation, Grant K-014.
Published in Lietuvos Matematikos Rinkinys, Vol. 39, No. 2, pp. 231–247, April–June, 1999.
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Kokoszka, P., Leipus, R. Testing for parameter changes in ARCH models. Lith Math J 39, 182–195 (1999). https://doi.org/10.1007/BF02469283
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DOI: https://doi.org/10.1007/BF02469283