Detecting structural changes under nonstationary volatility

Jilin Wu

Economics Letters, 2016, vol. 146, issue C, 151-154

Abstract: This paper shows that the U-statistic for moment condition stability proposed by Juhl and Xiao (2013) can be used to test against structural changes in regression coefficients under nonstationary volatility. We investigate the power property under the alternative, and prove that the test is consistent against single break, multiple breaks and smooth structural changes. Finally, we advocate using a bootstrap method to improve its size performance in finite samples.

Keywords: Structural changes; Nonstationary volatility; Wild bootstrap (search for similar items in EconPapers)
JEL-codes: C01 C14 G10 G14 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176516302920
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:146:y:2016:i:c:p:151-154

DOI: 10.1016/j.econlet.2016.07.039

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().