9.9 Further Reading: Hypothesis Testing in the GWN Model

  • Mention books by Carol Alexander for discussion of rolling and EWMA estimates
  • Formal tests for structural change require advanced probability and statistics. See (Zivot 2016) for discussion. Many tests are implemented in the strucchange package.


Zivot, E. 2016. Modeling Financial Time Series with R. New York: Springer.