| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5059341 | Economics Letters | 2013 | 6 Pages |
Abstract
We show that the CUSUM and LM tests for structural change in the volatility process enjoy monotonic power. The framework is general including many recently proposed non-stationary GARCH-type models. The result is in contrast to the well-known issue of non-monotonic power for the CUSUM-based tests for changing mean. Simulations and an empirical example provide further support.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ke-Li Xu,