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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Hannover Economic Papers (HEP) ; No. 647
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
Fixed-bandwidth asymptotics
Fractional Integration
Long Memory
Structural Breaks
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Leschinski, Christian
Wenger, Kai
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Hannover
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Leschinski, Christian
- Wenger, Kai
- Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2018
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