Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification

Taewook Lee and Changryong Baek

Computational Statistics & Data Analysis, 2020, vol. 150, issue C

Abstract: It is well-known that the conventional CUSUM tests are over-sized in the presence of high persistence and misspecification. In this article, we propose a block wild bootstrap-based CUSUM test (CUSUM-BWB) for detecting changes in mean and variance shifts under possible high persistence and misspecification. We establish the asymptotic properties of the proposed test and our simulation study shows that CUSUM-BWB tests achieve the correct sizes and comparable powers in finite samples. Our method is also applied to the realized volatility of the KOSPI stock index.

Keywords: Block wild bootstrap; Change point analysis; CUSUM test; High persistency; Mean changes; Variance shifts (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:150:y:2020:i:c:s0167947320300876

DOI: 10.1016/j.csda.2020.106996

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