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 | |
| 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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