| Residual Cusum Test for Parameters Change in ARCH Errors Models with Deterministic Trend |
| Received:November 13, 2007 Revised:July 07, 2008 |
| Key Words:
residual cusum test invariance principle Brownian bridge change point.
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| Fund Project:the National Natural Science Foundation of China (Nos.60375003; 60972150); the Science and Technology Innovation Foundation of Northwestern Polytechnical University (No.2007KJ01033). |
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| Abstract: |
| This paper analyzes the problem of testing for parameters change in ARCH errors models with deterministic trend based on residual cusum test. It is shown that the asymptotically limiting distribution of the residual cusum test statistic is still the sup of a standard Brownian bridge under null hypothesis. In order to check this, we carry out a Monte Carlo simulation and examine the return of IBM data. The results from both simulation and real data analysis support our claim. We also can explain this phenomenon from a theoretical viewpoint that the variance in ARCH model in mainly determined by its parameters. |
| Citation: |
| DOI:10.3770/j.issn:1000-341X.2009.06.009 |
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