Testing for parameter stability in nonlinear autoregressive models

  • In this paper 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.

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Metadaten
Verfasserangaben:Claudia Kirch, Joseph Tadjuidje Kamgaing
URN (Permalink):urn:nbn:de:hbz:386-kluedo-16914
Schriftenreihe (Bandnummer):Report in Wirtschaftsmathematik (WIMA Report) (137)
Dokumentart:Preprint
Sprache der Veröffentlichung:Englisch
Jahr der Fertigstellung:2011
Jahr der Veröffentlichung:2011
Veröffentlichende Institution:Technische Universität Kaiserslautern
Datum der Publikation (Server):25.03.2011
Freies Schlagwort / Tag:Change analysis ; autoregressive process; neural network ; nonparametric regression
Fachbereiche / Organisatorische Einheiten:Fachbereich Mathematik
DDC-Sachgruppen:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
MSC-Klassifikation (Mathematik):62-XX STATISTICS / 62Gxx Nonparametric inference / 62G08 Nonparametric regression
62-XX STATISTICS / 62Gxx Nonparametric inference / 62G10 Hypothesis testing
62-XX STATISTICS / 62Mxx Inference from stochastic processes / 62M45 Neural nets and related approaches
Lizenz (Deutsch):Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011

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