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Fixed-Bandwidth CUSUM Tests Under Long Memory

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  • Wenger, Kai
  • Leschinski, Christian

Abstract

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.

Suggested Citation

  • Wenger, Kai & Leschinski, Christian, 2018. "Fixed-Bandwidth CUSUM Tests Under Long Memory," Hannover Economic Papers (HEP) dp-647, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  • Handle: RePEc:han:dpaper:dp-647
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    File URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-647.pdf
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    References listed on IDEAS

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    1. Fabrizio Iacone & Stephen J. Leybourne & A. M. Robert Taylor, 2014. "A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 40-54, January.
    2. Aurelio Bruzzo, 2018. "Recenti iniziative europee ed italiane per la valorizzazione del patrimonio culturale," Working Papers 2018127, University of Ferrara, Department of Economics.
    3. McElroy, Tucker & Politis, Dimitris N., 2012. "Fixed-B Asymptotics For The Studentized Mean From Time Series With Short, Long, Or Negative Memory," Econometric Theory, Cambridge University Press, vol. 28(02), pages 471-481, April.
    4. 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.
    5. Thomas Mikosch & Cătălin Stărică, 2004. "Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 378-390, February.
    6. Xiaofeng Shao, 2011. "A simple test of changes in mean in the possible presence of long‐range dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 598-606, November.
    7. Kiefer, Nicholas M. & Vogelsang, Timothy J., 2005. "A New Asymptotic Theory For Heteroskedasticity-Autocorrelation Robust Tests," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1130-1164, December.
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    More about this item

    Keywords

    Fixed-bandwidth asymptotics; Fractional Integration; Long Memory; Structural Breaks;

    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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