The Cusum Test for Parameter Change in Regression Models with ARCH Errors
نویسندگان
چکیده
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, Cho and Lee (2000)’s cusum test. For illustration, we apply the residual cusum test to the return of yen/dollar exchange rate data. Subtitle: Residual cusum test
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