کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
416862 681409 2012 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
چکیده انگلیسی

This paper tests the null hypothesis of stationarity against the alternative of changes in persistence for sequences in the domain of attraction of a stable law. The proposed moving ratio test is valid for multiple changes in persistence while the previous residual based ratio tests are designed for processes displaying only a single change. We show that the new test is consistent whether the process changes from I(0)I(0) to I(1)I(1) or vice versa. And it is easy to identify the direction of detected change points. In particular, a bootstrap approximation method is proposed to determine the critical values for the null distribution of the test statistic containing unknown tail index. We also propose a two step approach to estimate the change points. Numerical evidence suggests that our test performs well in finite samples. In addition, we show that our test is still powerful for changes between short and long memory, and displays no tendency to spuriously over-reject I(0)I(0) null in favor of a persistence change if the process is actually I(1)I(1) throughout. Finally, we illustrate our test using the US inflation rate data and a set of high frequency stock closing price data.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 56, Issue 7, July 2012, Pages 2303–2316
نویسندگان
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