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

Oesook Lee

doi:10.1016/j.econlet.2014.06.029

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

Oesook Lee

Department of Statistics

Research output: Contribution to journal › Article › peer-review

8 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 language	English
Pages (from-to)	370-373
Number of pages	4
Journal	Economics Letters
Volume	124
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2014.06.029
State	Published - Sep 2014

Bibliographical note

Funding Information:
This research was supported by Basic Science Research Program through the NRF 2013R1A1A2006828.

Keywords

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

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10.1016/j.econlet.2014.06.029

Cite this

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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.",

keywords = "CUSUM, Functional central limit theorem, HAR(∞) model, Structural break",

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N2 - 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.

AB - 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.

KW - CUSUM

KW - Functional central limit theorem

KW - HAR(∞) model

KW - Structural break

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JO - Economics Letters

JF - Economics Letters

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ER -

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

Abstract

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Keywords

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