The functional central limit theorem and structural change test for the HAR(∞) model

Oesook Lee

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

Abstract

In this paper, we study the functional central limit theorem (FCLT) for the infinite-order heterogeneous autoregressive model of realized volatility (HAR(∞)). We prove under proper assumptions that the process is L2-NED and then obeys the FCLT. As an application of the FCLT, we derive the limit distribution of the CUSUM statistics to detect the structural change of the model.

Original languageEnglish
Pages (from-to)370-373
Number of pages4
JournalEconomics Letters
Volume124
Issue number3
DOIs
StatePublished - Sep 2014

Keywords

  • CUSUM
  • Functional central limit theorem
  • HAR(∞) model
  • Structural break

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