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Sieve bootstrap monitoring for change from short to long memory

Author:
Chen, Zhanshou, Xing, Yuhong, Li, Fuxiao
Source:
Economics letters 2016 v.140 pp. 53-56
ISSN:
0165-1765
Subject:
economics, monitoring, variance
Abstract:
This paper proposes a variance ratio statistic to monitor changes from short to long memory processes. The asymptotic distribution is derived under the null hypothesis and the consistency of the monitoring procedure is proven under the alternative hypothesis. A sieve bootstrap approximation method is introduced to determine the critical values. Simulations indicate that the new procedure is quite robust for many types of innovation processes and performs better than the existing retrospective test.
Agid:
6072784