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Monitoring a change in persistence of a long range dependent time series

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  • Heinen, Florian
  • Willert, Juliane

Abstract

We consider the detection of a change in persistence of a long range dependent time series. The usual approach is to use one-shot tests to detect a change in persistence a posteriori in a historical data set. However, as breaks can occur at any given time and data arrives steadily it is desirable to detect a change in persistence as soon as possible. We propose the use of a MOSUM type test which allows sequential application whenever new data arrives. We derive the asymptotic distribution of the test statistic and prove consistency. We further study the finite sample behavior of the test and provide an empirical application.

Suggested Citation

  • Heinen, Florian & Willert, Juliane, 2011. "Monitoring a change in persistence of a long range dependent time series," Hannover Economic Papers (HEP) dp-479, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    • Handle: RePEc:han:dpaper:dp-479
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    References listed on IDEAS

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    More about this item

    Keywords

    Change in persistence; long range dependency; MOSUM test;
    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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