Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models. Issue 21 (2nd November 2018)

• Record Type: Journal Article
• Authors: Hwang, Eunju; Shin, Dong Wan
• Is Part Of: Communications in statistics. Volume 47:Issue 21(2018)
• Page Start: 5378
• Page End: 5389
• Publication Date: 2018-11-02
• Subjects: CUSUM -- HAR model -- long-memory -- parameter constancy -- realized volatility -- structural break.; 62M10; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2017.1408827
• Languages: English
• ISSNs: 0361-0926

Abstract

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.