Block bootstrap testing for changes in persistence with heavy-tailed innovations

Ruibing Qin and Yang Liu

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 5, 1104-1116

Abstract: This article considers the detection of changes in persistence in heavy-tailed series. We adopt a Dickey–Fuller-type ratio statistic and derive its null asymptotic distribution of test statistic. We find that the asymptotic distribution depends on the stable index, which is often typically unknown and difficult to estimate. Therefore, the block bootstrap method is proposed to detect changes without estimating κ. The empirical sizes and power values are investigated to show that the block bootstrap test is valid. Finally, the validity of the method is demonstrated by analyzing the exchange rate of RMB and US dollars.

Date: 2018
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DOI: 10.1080/03610926.2017.1316398

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