Test for parameter changes in generalized random coefficient autoregressive model

Journal of Inequalities and Applications

Table 1 Empirical sizes

$ϕ_{t}$	T	q = 2T	q = 3T	q = 5T	q = 10T
0.1	100	0.084 (0.179)	0.084 (0.207)	0.070 (0.255)	0.096 (0.285)
	200	0.050 (0.167)	0.061 (0.181)	0.046 (0.228)	0.049 (0.245)
	300	0.061 (0.162)	0.057 (0.207)	0.056 (0.229)	0.053 (0.257)
	500	0.071 (0.139)	0.050 (0.184)	0.054 (0.242)	0.059 (0.258)
	1,000	0.056 (0.153)	0.058 (0.185)	0.055 (0.224)	0.065 (0.300)
0.3	100	0.085 (0.170)	0.097 (0.235)	0.090 (0.264)	0.103 (0.261)
	200	0.088 (0.149)	0.071 (0.202)	0.054 (0.216)	0.078 (0.253)
	300	0.071 (0.156)	0.060 (0.196)	0.069 (0.229)	0.069 (0.266)
	500	0.065 (0.159)	0.072 (0.192)	0.070 (0.223)	0.073 (0.272)
	1,000	0.077 (0.169)	0.062 (0.195)	0.065 (0.250)	0.069 (0.260)
0.5	100	0.090 (0.160)	0.077 (0.174)	0.109 (0.223)	0.101 (0.234)
	200	0.086 (0.121)	0.082 (0.159)	0.070 (0.182)	0.078 (0.198)
	300	0.087 (0.149)	0.077 (0.136)	0.066 (0.174)	0.060 (0.208)
	500	0.071 (0.137)	0.069 (0.142)	0.063 (0.188)	0.073 (0.203)
	1,000	0.073 (0.118)	0.064 (0.151)	0.069 (0.186)	0.069 (0.220)
0.7	100	0.078 (0.138)	0.055 (0.092)	0.111 (0.184)	0.094 (0.192)
	200	0.063 (0.098)	0.073 (0.090)	0.065 (0.097)	0.058 (0.115)
	300	0.076 (0.096)	0.064 (0.083)	0.057 (0.110)	0.054 (0.091)
	500	0.052 (0.078)	0.055 (0.089)	0.067 (0.108)	0.056 (0.117)
	1,000	0.041 (0.081)	0.069 (0.081)	0.049 (0.117)	0.063 (0.111)
0.9	100	0.067 (0.100)	0.049 (0.063)	0.078 (0.117)	0.098 (0.161)
	200	0.036 (0.042)	0.041 (0.052)	0.049 (0.071)	0.041 (0.085)
	300	0.037 (0.060)	0.044 (0.057)	0.051 (0.060)	0.044 (0.069)
	500	0.046 (0.056)	0.038 (0.068)	0.032 (0.064)	0.049 (0.074)
	1,000	0.033 (0.042)	0.047 (0.063)	0.039 (0.065)	0.035 (0.081)