Testing for change in mean of heteroskedastic time series
AbstractIn this paper we consider a Lagrange Multiplier-type test (LM) to detect change in the mean of time series with heteroskedasticity of unknown form. We derive the limiting distribution under the null, and prove the consistency of the test against the alternative of either an abrupt or smooth changes in the mean. We perform also some Monte Carlo simulations to analyze the size distortion and the power of the proposed test. We conclude that for moderate sample size, the test has a good performance. We finally carry out an empirical application using the daily closing level of the S&P 500 stock index, in order to illustrate the usefulness of the proposed test.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1102.5431.
Date of creation: Feb 2011
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Web page: http://arxiv.org/
Other versions of this item:
- Mohamed Boutahar, 2010. "Testing for change in mean of heteroskedastic time series," Working Papers hal-00570036, HAL.
- Mohamed Boutahar, 2010. "Testing for change in mean of heteroskedastic time series," Working Papers hal-00570062, HAL.
- NEP-ALL-2011-03-12 (All new papers)
- NEP-ECM-2011-03-12 (Econometrics)
- NEP-ETS-2011-03-12 (Econometric Time Series)
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