TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD
Walter Krämer () and
Econometric Theory, 2012, vol. 28, issue 03, pages 570-589
We propose a new test against a change in correlation at an unknown point in time based on cumulated sums of empirical correlations. The test does not require that inputs are independent and identically distributed under the null. We derive its limiting null distribution using a new functional delta method argument, provide a formula for its local power for particular types of structural changes, give some Monte Carlo evidence on its finite-sample behavior, and apply it to recent stock returns.
References: Add references at CitEc
Citations View citations in EconPapers (14) Track citations by RSS feed
Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466611000661 link to article abstract page (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:28:y:2012:i:03:p:570-589_00
Access Statistics for this article
Econometric Theory is currently edited by June
More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Series data maintained by Keith Waters ().