Detecting structural changes under nonstationary volatility

被引：2
|
作者：
Wu, Jilin [1 ]
机构：
[1] Xiamen Univ, WISE, Wang Yanan Inst Studies Econ, Xiamen 361005, Peoples R China
来源：
ECONOMICS LETTERS | 2016年 / 146卷
基金：
中国国家自然科学基金;
关键词：
Structural changes; Nonstationary volatility; Wild bootstrap; TIME-SERIES; MODELS; TESTS;
D O I：
10.1016/j.econlet.2016.07.039
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper shows that the U-statistic for moment condition stability proposed by Juhl and Xiao (2013) can be used to test against structural changes in regression coefficients under nonstationary volatility. We investigate the power property under the alternative, and prove that the test is consistent against single break, multiple breaks and smooth structural changes. Finally, we advocate using a bootstrap method to improve its size performance in finite samples. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：151 / 154
页数：4
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