Subsampling Tests for the Mean Change-point in ARCH Models with Stable Distribution Innovations
2018
The paper considers the problem of test for the mean change-point in ARCH models with innovations in the domain of attraction of a stable law with index .Based on the residuals CUSUM of squares test (RCUSQ ) statistic ,the subsampling method is proposed to determine the critical values of asymptotic distribution without estimating stable index k∈(1 ,2).Mento Carlo simulation results and empirical study are performed to illustrate the validity and effective of this proposed method .In a word ,the RCUSQ statistic based on subsampling is a fundamental tool to detect mean break in ARCH models with stable distribution innovations .
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