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

Oesook Lee

Economics Letters, 2014, vol. 124, issue 3, 370-373

Abstract: 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.

Keywords: Functional central limit theorem; HAR(∞) model; L2-NED; Structural break; CUSUM (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:124:y:2014:i:3:p:370-373

DOI: 10.1016/j.econlet.2014.06.029

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