Arbeitspapier
A simple test on structural change in long-memory time series
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Hannover Economic Papers (HEP) ; No. 592
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
Fractional Integration
Structural Breaks
Long Memory
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Wenger, Kai
Leschinski, Christian
Sibbertsen, Philipp
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Hannover
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 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
- Wenger, Kai
- Leschinski, Christian
- Sibbertsen, Philipp
- Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2017
Ähnliche Objekte (12)
Long memory vs. structural change in financial time series
Long Memory vs. Structural Change in Financial Time Series
Structural change in (economic) time series
Simple (but effective) tests of long memory versus structural breaks
Collective Structural Relaxation in Phase-Change Memory Devices
Essays on structural change tests under long memory
I. Séries simples.
Testing for structural change in the presence of long memory
Testing for structural change in the presence of long memory
Testing for multiple structural breaks in multivariate long memory time series
A simple nonparametric test for structural change in joint tail probabilities
Structural change and long memory in the GARCH(1,1)-model
Long memory vs. structural change in financial time series
Long Memory vs. Structural Change in Financial Time Series
Structural change in (economic) time series
Simple (but effective) tests of long memory versus structural breaks
Collective Structural Relaxation in Phase-Change Memory Devices
Essays on structural change tests under long memory
I. Séries simples.
Testing for structural change in the presence of long memory
Testing for structural change in the presence of long memory
Testing for multiple structural breaks in multivariate long memory time series
A simple nonparametric test for structural change in joint tail probabilities
Structural change and long memory in the GARCH(1,1)-model
Long memory vs. structural change in financial time series
Long Memory vs. Structural Change in Financial Time Series
Structural change in (economic) time series
Simple (but effective) tests of long memory versus structural breaks
Collective Structural Relaxation in Phase-Change Memory Devices
Essays on structural change tests under long memory
I. Séries simples.
Testing for structural change in the presence of long memory
Testing for structural change in the presence of long memory
Testing for multiple structural breaks in multivariate long memory time series
A simple nonparametric test for structural change in joint tail probabilities