Testing for abrupt breaks in variance structures with smooth changes

Raja Ben Hajria, Salah Khardani, Hamdi Raïssi

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Resumen

We investigate the problem of testing for variance breaks in the case where the variance structure is assumed to be smoothly time-varying under the null. Since the classical tests are aimed to detect any change in the variance, they are not able to distinguish between smooth non constant variance and abrupt breaks. In this paper a new procedure for detecting variance breaks taking into account for smooth changes in the variance under the null is proposed. The finite sample properties of the test we introduce are investigated by Monte Carlo experiments. The theoretical outputs are illustrated using U.S. macroeconomic data.

Idioma originalInglés
Páginas (desde-hasta)5195-5212
Número de páginas18
PublicaciónCommunications in Statistics - Theory and Methods
Volumen48
N.º21
DOI
EstadoPublicada - 2 nov. 2019
Publicado de forma externa

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