A simple test on structural change in long-memory time series

Arbeitspapier

We propose a simple test on structural change in long-range dependent time series. It is based on the idea that the test statistic of the standard CUSUM test retains its asymptotic distribution if it is applied to fractionally differenced data. We prove that our approach is asymptotically valid if the memory is estimated consistently under the null hypothesis. Therefore, the well-known CUSUM test can be used on the differenced data without any further modification. In a simulation study, we compare our test with a CUSUM test on structural change that is specifically constructed for long-memory time series and show that our approach performs well.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Hannover Economic Papers (HEP) ; No. 592

Classification and Topics

• Classification: Wirtschaft ; Hypothesis Testing: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• Subject: Fractional Integration ; Structural Breaks ; Long Memory

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Wenger, Kai ; Leschinski, Christian ; Sibbertsen, Philipp
• Event: Veröffentlichung
• (who): Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
• (where): Hannover
• (when): 2017

Further information

• Handle: http://hdl.handle.net/10419/172846
• Last update: 10.03.2025, 11:42 AM CET