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Copula-Based Univariate Time Series Structural Shift Identification Test

Author

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  • Henry Penikas
Abstract
An approach is proposed to determine structural shift in time-series assuming non-linear dependence of lagged values of dependent variable. Copulas are used to model non-linear dependence of time series components.

Suggested Citation

  • Henry Penikas, 2016. "Copula-Based Univariate Time Series Structural Shift Identification Test," Papers 1609.05056, arXiv.org.
    • Handle: RePEc:arx:papers:1609.05056
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    References listed on IDEAS

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    1. Rémillard, Bruno & Scaillet, Olivier, 2009. "Testing for equality between two copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 377-386, March.
    2. Brodsky, Boris & Penikas, Henry & Safaryan, Irina, 2009. "Detection of Structural Breaks in Copula Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 16(4), pages 3-15.
    3. Ibragimov, Rustam, 2009. "Copula-Based Characterizations For Higher Order Markov Processes," Econometric Theory, Cambridge University Press, vol. 25(3), pages 819-846, June.
    4. Okhrin Ostap & Okhrin Yarema & Schmid Wolfgang, 2013. "Properties of hierarchical Archimedean copulas," Statistics & Risk Modeling, De Gruyter, vol. 30(1), pages 21-54, March.
    5. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    6. Christian Genest & Bruno Rémillard, 2004. "Test of independence and randomness based on the empirical copula process," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 13(2), pages 335-369, December.
    7. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    8. Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
    9. Harvey, A., 2008. "Dynamic distributions and changing copulas," Cambridge Working Papers in Economics 0839, Faculty of Economics, University of Cambridge.
    10. Holmes, Mark & Kojadinovic, Ivan & Quessy, Jean-François, 2013. "Nonparametric tests for change-point detection à la Gombay and Horváth," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 16-32.
    11. Pierre Perron, 2005. "Dealing with Structural Breaks," Boston University - Department of Economics - Working Papers Series WP2005-017, Boston University - Department of Economics.
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