Bootstrap tests for structural change with infinite variance observations
The quest of structural change with infinite variance observations appears to be relatively common. Conventional residual CUSUM of squares test (RCUSQ) are unreliable in the presence of such behavior, having nonpivotal asymptotic null distributions. In this paper we propose a residual-based bootstrap approach to RCUSQ testing that is valid against a range of infinite variance processes. Our proposed method does not require the practitioners to specify knowledge for tailed index. Consistency and the rate of convergence for the estimated change point are also obtained. We also show via simulations that our asymptotic results provide good approximations in finite samples. In addition, we apply our results to investigate the original returns for NO.1 SDS using a historical data set that covers the period 1999-2002.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 79 (2009)
Issue (Month): 19 (October)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
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.:
- Ibragimov, Rustam, 2008. "Heavy-tailedness and threshold sex determination," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2804-2810, November.
- Horváth, Lajos & Kokoszka, Piotr, 2003. "A bootstrap approximation to a unit root test statistic for heavy-tailed observations," Statistics & Probability Letters, Elsevier, vol. 62(2), pages 163-173, April.
- Ibragimov, Rustam, 2008. "Heavy-tailedness and Threshold Sex Determination," Scholarly Articles 2623659, Harvard University Department of Economics.
- Andrews, Donald W K & Ploberger, Werner, 1994.
"Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative,"
Econometric Society, vol. 62(6), pages 1383-1414, November.
- Tom Doan, . "REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values," Statistical Software Components RTS00176, Boston College Department of Economics.
- Tom Doan, . "APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood," Statistical Software Components RTS00007, Boston College Department of Economics.
- Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
- Tom Doan, . "APBREAKTEST: RATS procedure to implement Andrews-Ploberger Structural Break Test," Statistical Software Components RTS00006, Boston College Department of Economics.
- Su, Liangjun & Xiao, Zhijie, 2008. "Testing for parameter stability in quantile regression models," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2768-2775, November.
- Piotr Kokoszka & Michael Wolf, 2004. "Subsampling the mean of heavy-tailed dependent observations," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 217-234, 03.
- Nunes, Luis C. & Kuan, Chung-Ming & Newbold, Paul, 1995. "Spurious Break," Econometric Theory, Cambridge University Press, vol. 11(04), pages 736-749, August.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:79:y:2009:i:19:p:1985-1995. 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: (Zhang, Lei)
If references are entirely missing, you can add them using this form.