Detecting level shifts in the presence of conditional heteroscedasticity

Publication:
Detecting level shifts in the presence of conditional heteroscedasticity

dc.affiliation.dpto	UC3M. Departamento de Estadística	es
dc.contributor.author	Carnero, María Ángeles
dc.contributor.author	Peña, Daniel
dc.contributor.author	Ruiz Ortega, Esther
dc.contributor.other	Instituto Valenciano de Investigaciones Económicas
dc.date.accessioned	2010-07-08T10:15:56Z
dc.date.available	2010-07-08T10:15:56Z
dc.date.issued	2004
dc.description.abstract	The objective of this paper is to analyze the finite sample performance of two variants of the likelihood ratio test for detecting a level shift in uncorrelated conditionally heteroscedastic time series. We show that the behavior of the likelihood ratio test is not appropriate in this context whereas if the test statistic is appropriately standardized, it works better. We also compare two alternative procedures for testing for several level shifts. The results are illustrated by analyzing daily returns of exchange rates.
dc.format.mimetype	application/pdf
dc.identifier.uri	https://hdl.handle.net/10016/9027
dc.language.iso	eng
dc.relation.ispartofseries	Documentos de trabajo-AD
dc.relation.ispartofseries	2004-6
dc.relation.publisherversion	http://www.ivie.es/downloads/docs/04/wpad-06.pdf
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRights	open access
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.eciencia	Estadística
dc.title	Detecting level shifts in the presence of conditional heteroscedasticity
dc.type	working paper	*
dspace.entity.type	Publication

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