Testing for a break in persistence under long-range dependencies
We show that tests for a break in the persistence of a time series in the classical I(0)/I(1) framework have serious size distortions when the actual data-generating process (DGP) exhibits long-range dependencies. We prove that the limiting distribution of a CUSUM of squares-based test depends on the true memory parameter if the DGP exhibits long memory. We propose adjusted critical values for the test and give finite sample response curves that allow easy implementation of the test by the practitioner and also ease in computing the relevant critical values. We furthermore prove the consistency of the test for a simple breakpoint estimator also under long memory. We show that the test has satisfying power properties when the correct critical values are used. Copyright 2009 The Authors. Journal compilation 2009 Blackwell Publishing Ltd
Year of publication: |
2009
|
---|---|
Authors: | Sibbertsen, Philipp ; Kruse, Robinson |
Published in: |
Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 30.2009, 3, p. 263-285
|
Publisher: |
Wiley Blackwell |
Saved in:
Saved in favorites
Similar items by person
-
Testing for a break in persistence under long-range dependencies
Sibbertsen, Philipp, (2007)
-
Long memory and changing persistence
Kruse, Robinson, (2010)
-
Testing for a break in persistence under long-range dependencies
Sibbertsen, Philipp, (2007)
- More ...