A CUSUM test for a long memory heterogeneous autoregressive model

Eunju Hwang; Dong Wan Shin

doi:10.1016/j.econlet.2013.09.014

A CUSUM test for a long memory heterogeneous autoregressive model

Eunju Hwang, Dong Wan Shin

Department of Statistics

Research output: Contribution to journal › Article › peer-review

15 Scopus citations

Abstract

A CUSUM test is proposed for testing structural breaks in a long-memory heterogeneous autoregressive model. The limiting distribution of the CUSUM test is shown to be a simple function of a standard Brownian bridge, contrasting with the nuisance parameter dependent asymptotics of other CUSUM tests based on fractional integration models. A Monte-Carlo experiment investigates finite sample size and power of the test. The proposed test is applied to a set of daily realized volatilities of the log-return of the Korean Won US Dollar exchange rate to reveal some evidence of a break in addition to a long-memory.

Original language	English
Pages (from-to)	379-383
Number of pages	5
Journal	Economics Letters
Volume	121
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2013.09.014
State	Published - Dec 2013

Bibliographical note

Funding Information:
This work was supported by the National Research Foundation of Korea ( NRF-2012-2046157 ) through the National Research Foundation of Korea (NRF) funded by the Ministry of Education Science and Technology.

Keywords

C22
HAR model
Parameter constancy
Realized volatility
Structural break

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10.1016/j.econlet.2013.09.014

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abstract = "A CUSUM test is proposed for testing structural breaks in a long-memory heterogeneous autoregressive model. The limiting distribution of the CUSUM test is shown to be a simple function of a standard Brownian bridge, contrasting with the nuisance parameter dependent asymptotics of other CUSUM tests based on fractional integration models. A Monte-Carlo experiment investigates finite sample size and power of the test. The proposed test is applied to a set of daily realized volatilities of the log-return of the Korean Won US Dollar exchange rate to reveal some evidence of a break in addition to a long-memory.",

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AU - Shin, Dong Wan

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AB - A CUSUM test is proposed for testing structural breaks in a long-memory heterogeneous autoregressive model. The limiting distribution of the CUSUM test is shown to be a simple function of a standard Brownian bridge, contrasting with the nuisance parameter dependent asymptotics of other CUSUM tests based on fractional integration models. A Monte-Carlo experiment investigates finite sample size and power of the test. The proposed test is applied to a set of daily realized volatilities of the log-return of the Korean Won US Dollar exchange rate to reveal some evidence of a break in addition to a long-memory.

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KW - HAR model

KW - Parameter constancy

KW - Realized volatility

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SP - 379

EP - 383

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

A CUSUM test for a long memory heterogeneous autoregressive model

Abstract

Bibliographical note

Keywords

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