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A modified Wilcoxon test for change points in long-range dependent time series

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  • Wenger, Kai
  • Less, Vivien

Abstract

This paper considers testing for structural change in long-memory time series. We modify the Wilcoxon two-sample rank test by standardizing it with a kernel-based fixed bandwidth long-run variance estimator. The corresponding test statistic converges to a well-defined distribution under the null hypothesis. In a Monte Carlo simulation we confirm that the test provides good finite sample size and power results and compare it with an existing approach.

Suggested Citation

  • Wenger, Kai & Less, Vivien, 2020. "A modified Wilcoxon test for change points in long-range dependent time series," Economics Letters, Elsevier, vol. 192(C).
    • Handle: RePEc:eee:ecolet:v:192:y:2020:i:c:s016517652030166x
    DOI: 10.1016/j.econlet.2020.109237
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    References listed on IDEAS

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    1. Yixiao Sun & Peter C. B. Phillips & Sainan Jin, 2008. "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing," Econometrica, Econometric Society, vol. 76(1), pages 175-194, January.
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    6. Herold Dehling & Aeneas Rooch & Murad S. Taqqu, 2013. "Non-Parametric Change-Point Tests for Long-Range Dependent Data," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(1), pages 153-173, March.
    7. Kiefer, Nicholas M. & Vogelsang, Timothy J., 2002. "Heteroskedasticity-Autocorrelation Robust Testing Using Bandwidth Equal To Sample Size," Econometric Theory, Cambridge University Press, vol. 18(6), pages 1350-1366, December.
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    10. Xiaofeng Shao, 2010. "A self‐normalized approach to confidence interval construction in time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 343-366, June.
    11. Kai Wenger & Christian Leschinski & Philipp Sibbertsen, 2019. "Change-in-mean tests in long-memory time series: a review of recent developments," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 237-256, June.
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    More about this item

    Keywords

    Fixed bandwidth asymptotics; Wilcoxon test; Long memory; Structural breaks;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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