Advanced Search
MyIDEAS: Login to save this paper or follow this series

A New Procedure to Test for H Self-Similarity

Contents:

Author Info

  • Les Oxley

    ()
    (University of Canterbury)

  • Chris Price
  • William Rea
  • Marco Reale

Abstract

It is now recognized that long memory and structural change can be confused because the statistical properties of times series of lengths typical of many nancial and economic series are similar for both mod- els. We propose a new test aimed at distinguishing between unifractal long memory and structural change. The approach, which utilizes the computationally ecient methods based upon Atheoretical Regression Trees (ART), establishes through simulation the bivariate distribution of the number of breaks reported by ART with the CUSUM range for simulated fractionally integrated series. This bivariate distribution is then used to empirically construct a test. We apply these methods to the realized volatility series of 16 stocks in the Dow Jones Industrial Average. We show the realised volatility series are statistically sig- ni cantly di erent from fractionally integrated series with the same estimated d value. We present evidence that these series have struc- tural breaks. For comparison purposes we present the results of tests by Zhang and Ohanissian, Russell, and Tsay for these series.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.econ.canterbury.ac.nz/RePEc/cbt/econwp/0816.pdf
Download Restriction: no

Bibliographic Info

Paper provided by University of Canterbury, Department of Economics and Finance in its series Working Papers in Economics with number 08/16.

as in new window
Length: 22 pages
Date of creation: 12 Sep 2008
Date of revision:
Handle: RePEc:cbt:econwp:08/16

Contact details of provider:
Postal: Private Bag 4800, Christchurch, New Zealand
Phone: 64 3 369 3123 (Administrator)
Fax: 64 3 364 2635
Web page: http://www.econ.canterbury.ac.nz
More information through EDIRC

Related research

Keywords: Long-range dependence; strong dependence; global dependence;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, Springer, vol. 45(4), pages 465-515, October.
  2. Smith, Aaron D., 2004. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Working Papers, University of California, Davis, Department of Agricultural and Resource Economics 11974, University of California, Davis, Department of Agricultural and Resource Economics.
  3. Achim Zeileis & Friedrich Leisch & Kurt Hornik & Christian Kleiber, . "strucchange: An R Package for Testing for Structural Change in Linear Regression Models," Journal of Statistical Software, American Statistical Association, American Statistical Association, vol. 7(i02).
  4. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, Elsevier, vol. 105(1), pages 131-159, November.
  5. Jennifer Brown & Les Oxley & William Rea & Marco Reale, 2008. "The Empirical Properties of Some Popular Estimators of Long Memory Processes," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 08/13, University of Canterbury, Department of Economics and Finance.
  6. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, Elsevier, vol. 129(1-2), pages 1-34.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cbt:econwp:08/16. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Albert Yee).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.