IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1102.5431.html
   My bibliography  Save this paper

Testing for change in mean of heteroskedastic time series

Author

Listed:
  • Mohamed Boutahar

    (GREQAM)

Abstract

In this paper we consider a Lagrange Multiplier-type test (LM) to detect change in the mean of time series with heteroskedasticity of unknown form. We derive the limiting distribution under the null, and prove the consistency of the test against the alternative of either an abrupt or smooth changes in the mean. We perform also some Monte Carlo simulations to analyze the size distortion and the power of the proposed test. We conclude that for moderate sample size, the test has a good performance. We finally carry out an empirical application using the daily closing level of the S&P 500 stock index, in order to illustrate the usefulness of the proposed test.

Suggested Citation

  • Mohamed Boutahar, 2011. "Testing for change in mean of heteroskedastic time series," Papers 1102.5431, arXiv.org.
    • Handle: RePEc:arx:papers:1102.5431
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1102.5431
    File Function: Latest version
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1102.5431. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.