Arbeitspapier
Fixed-bandwidth CUSUM tests under long memory
We propose a family of self-normalized CUSUM tests for structural change under long memory. The test statistics apply non-parametric kernel-based fixed-b and fixed-m long-run variance estimators and have well-defined limiting distributions that only depend on the long-memory parameter. A Monte Carlo simulation shows that these tests provide finite sample size control while outperforming competing procedures in terms of power.
- Language
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Englisch
- Bibliographic citation
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Series: Hannover Economic Papers (HEP) ; No. 647
- Classification
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Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Subject
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Fixed-bandwidth asymptotics
Fractional Integration
Long Memory
Structural Breaks
- Event
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Geistige Schöpfung
- (who)
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Leschinski, Christian
Wenger, Kai
- Event
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Veröffentlichung
- (who)
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Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (where)
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Hannover
- (when)
-
2018
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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Object type
- Arbeitspapier
Associated
- Leschinski, Christian
- Wenger, Kai
- Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Time of origin
- 2018
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