Abstract
For an ARMA model, we test the hypothesis that the coefficients of this model remain constant in time and satisfy the stationarity condition against the alternative that the coefficients change (“drift”) in time. We propose asymptotically distribution free tests for such hypothesis based on sequential residual processes. A similar problem is solved for the ARCH model.
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Boldin, M.V., Erlikh, I.G. Testing hypotheses on the “drift” of parameters in ARMA and ARCH models. Math. Meth. Stat. 18, 1–20 (2009). https://doi.org/10.3103/S1066530709010013
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DOI: https://doi.org/10.3103/S1066530709010013