Moving ratio test for multiple changes in persistence. (English) Zbl 1255.93131
Summary: This paper proposes a moving ratio test, which is a modified version of ratio test by involving a bandwidth parameter, to detect multiple changes in persistence, and to determine the direction of switch. The asymptotic distribution as well as its consistency are established. In order to estimate the change points, the authors propose a two step estimate approach. Simulations illustrate the performance of the test and estimate procedures in finite samples. An application to the analysis of Sweden/US foreign exchange rate demonstrates the validity of the procedure in practice.
MSC:
| 93E10 | Estimation and detection in stochastic control theory |
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
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