Abstract
This paper studies how to detect structural change characterized by a change in heavy index of the infinite variance observations. In particular, we are interested in a process where the heavy index changing from a bigger to a less or vice versa. A ratio type test is adopted and its asymptotic distribution under null hypothesis of have no index break approximates a ratio of a stable process. A Monte Carlo study shows that our test has reasonably good size and power properties in finite samples.
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