Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5059536 | Economics Letters | 2013 | 5 Pages |
Abstract
A CUSUM test is proposed for testing structural breaks in a long-memory heterogeneous autoregressive model. The limiting distribution of the CUSUM test is shown to be a simple function of a standard Brownian bridge, contrasting with the nuisance parameter dependent asymptotics of other CUSUM tests based on fractional integration models. A Monte-Carlo experiment investigates finite sample size and power of the test. The proposed test is applied to a set of daily realized volatilities of the log-return of the Korean Won US Dollar exchange rate to reveal some evidence of a break in addition to a long-memory.
Related Topics
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Authors
Eunju Hwang, Dong Wan Shin,