Test for parameter changes in generalized random coefficient autoregressive model

Journal of Inequalities and Applications

Table 2 Empirical powers

T	$k^{*}$	q = 2T	q = 3T	q = 5T	q = 10T
$ϕ_{t} = 0.1$ , $α = 0.3 \to ϕ_{t} = 0.7$ , α = 0.3
100	0.3T	0.781 (0.962)	0.876 (0.992)	0.908 (0.995)	0.952 (1.000)
100	0.8T	0.575 (0.890)	0.756 (0.970)	0.857 (0.993)	0.923 (0.998)
200	0.3T	0.965 (0.998)	0.991 (1.000)	0.996 (1.000)	0.999 (1.000)
200	0.8T	0.846 (0.993)	0.961 (1.000)	0.998 (1.000)	1.000 (1.000)
300	0.3T	0.960 (0.998)	0.999 (1.000)	0.999 (1.000)	1.000 (1.000)
300	0.8T	0.958 (1.000)	0.995 (1.000)	1.000 (1.000)	1.000 (1.000)
500	0.3T	1.000 (1.000)	1.000 (1.000)	1.000 (1.000)	1.000 (1.000)
500	0.8T	0.999 (1.000)	1.000 (1.000)	1.000 (1.000)	1.000 (1.000)
1,000	0.3T	1.000 (1.000)	1.000 (1.000)	1.000 (1.000)	1.000 (1.000)
1,000	0.8T	1.000 (1.000)	1.000 (1.000)	1.000 (1.000)	1.000 (1.000)
$ϕ_{t} = 0.7$ , $α = 0.3 \to ϕ_{t} = 0.1$ , α = 0.3
100	0.3T	0.164 (0.487)	0.206 (0.671)	0.288 (0.828)	0.385 (0.898)
100	0.8T	0.091 (0.266)	0.130 (0.461)	0.178 (0.702)	0.975 (1.000)
200	0.3T	0.359 (0.971)	0.193 (0.846)	0.517 (0.974)	0.974 (0.999)
200	0.8T	0.353 (0.976)	0.229 (0.856)	0.518 (0.979)	0.972 (1.000)
300	0.3T	0.382 (0.972)	0.227 (0.839)	0.518 (0.979)	0.977 (1.000)
300	0.8T	0.372 (0.968)	0.219 (0.859)	0.510 (0.866)	0.963 (0.999)
500	0.3T	0.371 (0.967)	0.806 (0.990)	0.936 (0.996)	0.971 (0.999)
500	0.8T	0.376 (0.974)	0.912 (1.000)	0.994 (1.000)	1.000 (1.000)
1,000	0.3T	0.385 (0.970)	0.909 (0.999)	0.997 (1.000)	1.000 (1.000)
1,000	0.8T	0.394 (0.970)	0.892 (1.000)	0.995 (1.000)	1.000 (1.000)