کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069551 1476992 2015 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Detecting structural changes using wavelets
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Detecting structural changes using wavelets
چکیده انگلیسی


- We develop a wavelet structural break test.
- We establish limiting distribution of the test.
- We analyze the size and power properties of the test in a simulation study.
- We show that the test has a reasonable size and substantial power.
- The power is significantly higher compared to alternatives when breaks are multiple.

We propose a powerful wavelet method to identify structural breaks in the mean of a process. If there is a structural change in the mean, the sum of the squared scaling coefficients absorbs more variation, leading to unequal weights for the variances of the wavelet and scaling coefficients. We use this feature of wavelets to design a statistical test for changes in the mean of an independently distributed process. We establish the limiting null distribution of our test and demonstrate that our test has good empirical size and substantive power relative to the existing alternatives especially for multiple breaks.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 12, February 2015, Pages 23-37
نویسندگان
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