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A CUSUM test for breaks in fractional cointegration

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  • Fitter, Krischan
  • Sibbertsen, Philipp

Abstract

We propose a CUSUM type test for breaks in a fractional cointegration model. The test can be used to detect a break in the cointegrating vector and potentially for a break in the degree of integration. We establish the limiting distribution using different representations of stochastic integrals, which depend on the combined degree of integration of the series. Also, we prove consistency of the test under a break in the parameter. In a Monte-Carlo simulation we find good size and power levels for most combinations of fractional integration.

Suggested Citation

  • Fitter, Krischan & Sibbertsen, Philipp, 2025. "A CUSUM test for breaks in fractional cointegration," Economics Letters, Elsevier, vol. 256(C).
    • Handle: RePEc:eee:ecolet:v:256:y:2025:i:c:s0165176525004537
    DOI: 10.1016/j.econlet.2025.112616
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    References listed on IDEAS

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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