Abstract

http://ssrn.com/abstract=2042904
 
 

References (56)



 
 

Footnotes (4)



 


 



Testing for Parameter Stability in Nonlinear Autoregressive Models


Claudia Kirch


affiliation not provided to SSRN

Joseph Tadjuidje Kamgaing


affiliation not provided to SSRN

May 2012

Journal of Time Series Analysis, Vol. 33, Issue 3, pp. 365-385, 2012

Abstract:     
In this article we develop testing procedures for the detection of structural changes in nonlinear autoregressive processes. For the detection procedure, we model the regression function by a single layer feedforward neural network. We show that CUSUM‐type tests based on cumulative sums of estimated residuals, that have been intensively studied for linear regression, can be extended to this case. The limit distribution under the null hypothesis is obtained, which is needed to construct asymptotic tests. For a large class of alternatives, it is shown that the tests have asymptotic power one. In this case, we obtain a consistent change‐point estimator which is related to the test statistics. Power and size are further investigated in a small simulation study with a particular emphasis on situations where the model is misspecified, i.e. the data is not generated by a neural network but some other regression function. As illustration, an application on the Nile data set as well as S&P log‐returns is given.

Number of Pages in PDF File: 21

Keywords: Change analysis, non‐parametric regression, neural network, autoregressive process, 2000

JEL Classification: 62G10, 62M45, 62G08

Accepted Paper Series


Date posted: April 21, 2012  

Suggested Citation

Kirch, Claudia and Kamgaing, Joseph Tadjuidje, Testing for Parameter Stability in Nonlinear Autoregressive Models (May 2012). Journal of Time Series Analysis, Vol. 33, Issue 3, pp. 365-385, 2012. Available at SSRN: http://ssrn.com/abstract=2042904 or http://dx.doi.org/10.1111/j.1467-9892.2011.00764.x

Contact Information

Claudia Kirch (Contact Author)
affiliation not provided to SSRN ( email )
No Address Available
Joseph Tadjuidje Kamgaing
affiliation not provided to SSRN
No Address Available
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References:  56
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