Modified Testing for Structural Changes in Autoregressive Processes

Abstract In this paper, we consider the problem of detecting for structural changes in the autoregressive processes including AR(p) process. In performing a test, we employ the conventional residual CUSUM of squares test (RCUSQ) statistic. The RCUSQ test is based on the subsampling method introduced by Jach and Kokoszka [J. Methodology and Computing in Applied Probability 25(2004)]. It is shown that under regularity conditions, the asymptotic distribution of the test statistic is the function of a standard Brownian bridge. Simulation results as to AR(1) process and an example of real data analysis are provided for illustration.

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