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Tests for Structural Changes in Time Series of Counts
Author(s) -
Hudecová Šárka,
Hušková Marie,
Meintanis Simos G.
Publication year - 2017
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/sjos.12278
Subject(s) - mathematics , series (stratigraphy) , poisson distribution , autoregressive model , monte carlo method , null hypothesis , statistical hypothesis testing , statistics , econometrics , paleontology , biology
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.