| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28570 |
| 来源ID | Working Paper 28570 |
| Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions | |
| Torben G. Andersen; Rasmus T. Varneskov | |
| 发表日期 | 2021-03-22 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | This paper develops parameter instability and structural change tests within predictive regressions for economic systems governed by persistent vector autoregressive dynamics. Specifically, in a setting where all – or a subset – of the variables may be fractionally integrated and the predictive relation may feature cointegration, we provide sup-Wald break tests that are constructed using the Local speCtruM (LCM) approach. The new tests cover both parameter variation and multiple structural changes with unknown break dates, and the number of breaks being known or unknown. We establish asymptotic limit theory for the tests, showing that it coincides with standard testing procedures. As a consequence, existing critical values for tied-down Bessel processes may be applied, without modification. We implement the new structural change tests to explore the stability of the fractionally cointegrating relation between implied- and realized volatility (IV and RV). Moreover, we assess the relative efficiency of IV forecasts against a challenging time-series benchmark constructed from high-frequency data. Unlike existing studies, we find evidence that the IV-RV cointegrating relation is unstable, and that carefully constructed time-series forecasts are more efficient than IV in capturing low-frequency movements in RV. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w28570 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586244 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Rasmus T. Varneskov. Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w28570.pdf（796KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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