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

Kai Wenger and Vivien Less

Economics Letters, 2020, vol. 192, issue C

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.

Keywords: Fixed bandwidth asymptotics; Wilcoxon test; Long memory; Structural breaks (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:192:y:2020:i:c:s016517652030166x

DOI: 10.1016/j.econlet.2020.109237

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