Tests for structural breaks in the coefficients of the long-memory heterogeneous autoregressive (HAR) models are developed. The tests are based on the partial sum process of the normalized efficient score vector. The tests have the nice property of identifying the parameters of the daily, weekly, and monthly regressors in which breaks occur. Limiting null distributions of the proposed tests are proven to be derived from standard Brownian bridges. A finite sample Monte-Carlo experiment shows reasonable size and power properties of the proposed tests. The proposed method is illustrated by a real data analysis.
Bibliographical noteFunding Information:
National Research Foundation of Korea (2015-1006133,2016R1A2B4008780) The authors are very grateful for the valuable comments of two anonymous referees which considerably improve the paper.
© 2018, © 2018 Taylor & Francis Group, LLC.
- HAR model
- parameter constancy
- realized volatility
- structural break