Tests for Structural Changes in Time Series of Counts
| Autor: | Simos G. Meintanis, Šárka Hudecová, Marie Hušková |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
Series (mathematics) 05 social sciences Monte Carlo method Generating function Empirical probability Poisson distribution 01 natural sciences 010104 statistics & probability symbols.namesake Autoregressive model 0502 economics and business symbols Applied mathematics 0101 mathematics Statistics Probability and Uncertainty Null hypothesis 050205 econometrics Mathematics Statistical hypothesis testing |
| Zdroj: | Scandinavian Journal of Statistics. 44:843-865 |
| ISSN: | 0303-6898 |
| DOI: | 10.1111/sjos.12278 |
| Popis: | We propose methods for detecting structural changes in time series with discrete-valued observations. The detector statistics come in familiar L2-type formulations incorporating the empirical probability generating function. Special emphasis is given to the popular models of integer autoregression and Poisson autoregression. For both models, we study mainly structural changes due to a change in distribution, but we also comment for the classical problem of parameter change. The asymptotic properties of the proposed test statistics are studied under the null hypothesis as well as under alternatives. A Monte Carlo power study on bootstrap versions of the new methods is also included along with a real data example. |
| Databáze: | OpenAIRE |
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