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

Title
Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models
Authors
Hwang E.Shin D.W.
Ewha Authors
신동완황은주
SCOPUS Author ID
신동완scopus
Issue Date
2017
Journal Title
Communications in Statistics - Theory and Methods
ISSN
0361-0926JCR Link
Citation
pp. 1 - 12
Keywords
CUSUMHAR modellong-memoryparameter constancyrealized volatilitystructural break.
Publisher
Taylor and Francis Inc.
Indexed
SCIE; SCOPUS scopus
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. © 2017 Taylor & Francis Group, LLC
DOI
10.1080/03610926.2017.1408827
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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