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A CUSUM test for a long memory heterogeneous autoregressive model
Hwang, Eunju; Shin, Dong-wan - In: Economics letters 121 (2013) 3, pp. 379-383
Persistent link: https://www.econbiz.de/10010392170
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Long-memories and mean breaks in realized volatilities
Song, Hyejin; Shin, Dong-wan - In: Applied economics letters 22 (2015) 16/18, pp. 1273-1280
Persistent link: https://www.econbiz.de/10011380139
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A self-normalization test for correlation change
Choi, Ji-Eun; Shin, Dong-wan - In: Economics letters 193 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012509218
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A CUSUMSQ Test for Structural Breaks in Error Variance for a Long Memory Heterogeneous Autoregressive Model
Hwang, Eunju - 2014
For testing error variance unstability, a test based on CUSUM squares of the residuals in HAR (Heteroscedastic AutoRegressive) models are constructed and its limiting null distribution is derived to be a simple function of the standard Brownian bridge. A finite sample Monte-Carlo experiment...
Persistent link: https://www.econbiz.de/10013054876