Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models

Eunju Hwang, Dong Wan Shin

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)5378-5389
Number of pages12
JournalCommunications in Statistics - Theory and Methods
Volume47
Issue number21
DOIs
StatePublished - 2 Nov 2018

Keywords

  • CUSUM
  • HAR model
  • long-memory
  • parameter constancy
  • realized volatility
  • structural break

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