The functional central limit theorem and structural change test for the HAR(∞) model

In this paper, we study the functional central limit theorem (FCLT) for the infinite-order heterogeneous autoregressive model of realized volatility (HAR(∞)). We prove under proper assumptions that the process is L2-NED and then obeys the FCLT. As an application of the FCLT, we derive the limit distribution of the CUSUM statistics to detect the structural change of the model.

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Year of publication:	2014
Authors:	Lee, Oesook
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 124.2014, 3, p. 370-373
Publisher:	Elsevier
Subject:	Functional central limit theorem \| HAR(∞) model \| L2-NED \| Structural break \| CUSUM

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Type of publication:	Article
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041883