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- 학술저널
- 저자정보
- 저널정보
- 한국전산응용수학회 Journal of applied mathematics & computing Journal of applied mathematics & computing 제23권 제1호
- 발행연도
- 2007.1
- 수록면
- 57 - 71 (15page)
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This paper considers how to detect structure change in persistence from I(1) to I(0) with innovations in the domain of attraction of a K-stable law. We derive the asymptotic distribution of test statistic and find that the asymptotic distribution of test statistics depends on the stable index K, which is often typically unknown and difficult to estimate. Therefore the subsampling method is proposed to detect changes without estimating K. We establish the asymptotic validity of this method and assess its performance in finite samples by means of simulation study.
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