Test of Multiple Breaks in Long Memory Process: An Unknown Mean Breaks Case

Lu Deng

doi:10.4028/www.scientific.net/AMM.391.410

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vol. 391Test of Multiple Breaks in Long Memory Process: An...

Test of Multiple Breaks in Long Memory Process: An Unknown Mean Breaks Case

Abstract:

This paper extends Bai and Perron (1998) multi-unknown breaks method to long memory process, analyzes the finite sample property of the method (mean, variance, the test performance of Sup-F statistics) and the relation with the fractional integration parameter, size and location of break point. One and two unknown mean break and various long memory situations are considered. It found that expect for the condition that fractional integrated parameter d approaches to 0.5, BP method is fairly exact to estimate the break point, the bias is relatively small and the power and size of the Sup-F test is acceptable. Especially when d is negative, this method shows outstanding statistical property, small bias and standard deviation, and perfect test power and size.

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Periodical:

Applied Mechanics and Materials (Volume 391)

Pages:

410-412

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.391.410

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Online since:

September 2013

Authors:

Lu Deng

Keywords:

Long Memory, Mean Break, Multipe Breaks, Sup-F Type Test

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