Abstract
This paper considers how to detect structural change in persistence between and behaviour with innovations in the domain of attraction of a -stable law. Conventional ratio-based tests developed in Kim [J. Econ. 95(2000)] are unreliable in the presence of such behavior, having non-pivotal asymptotic null distributions. In this paper we propose a subsampling approach to ratio-based tests that is valid against a range of heavy-tailed processes. Our proposed method does not require the practitioners to specify knowledge for stable index. Consistency and the rate of convergence for the estimated change point are also obtained. We show via simulations that our asymptotic results provide good approximations in finite samples.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
