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.

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Year of publication:	2018
Authors:	Leschinski, Christian ; Wenger, Kai
Publisher:	Hannover : Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Subject:	Fixed-bandwidth asymptotics \| Fractional Integration \| Long Memory \| Structural Breaks

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Series:	Hannover Economic Papers (HEP) ; 647
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1047119099 [GVK] hdl:10419/200659 [Handle] RePEc:han:dpaper:dp-647 [RePEc]
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012030933