A CUSUM test for a long memory heterogeneous autoregressive model

Eunju Hwang, Dong Wan Shin

Research output: Contribution to journalArticlepeer-review

15 Scopus citations


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 languageEnglish
Pages (from-to)379-383
Number of pages5
JournalEconomics Letters
Issue number3
StatePublished - Dec 2013


  • C22
  • HAR model
  • Parameter constancy
  • Realized volatility
  • Structural break


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