Fixed-bandwidth CUSUM tests under long memory

Christian Leschinski, Kai Wenger

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.

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Year of publication:	[2018]
Authors:	Leschinski, Christian ; Wenger, Kai
Publisher:	[Hannover] : Wirtschaftswissenschaftliche Fakultät der Leibniz Universität Hannover
Subject:	Fixed-bandwidth asymptotics \| Fractional Integration \| Long Memory \| Structural Breaks \| Strukturbruch \| Structural break \| Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory \| ARMA-Modell \| ARMA model \| Statistischer Test \| Statistical test

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Extent:	1 Online-Ressource (circa 18 Seiten) Illustrationen
Series:	Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP). - Hannover : Wirtschaftswiss. Fak., Univ., ZDB-ID 2120102-X. - Vol. Nummer: 647 (Dec 2018)
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/200659 [Handle]
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011957769