A CUSUM test for breaks in fractional cointegration

Krischan Fitter and Philipp Sibbertsen

Economics Letters, 2025, vol. 256, issue C

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.

Keywords: Long-memory; Fractional cointegration; Structural breaks (search for similar items in EconPapers)
JEL-codes: C12 C32 C52 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:256:y:2025:i:c:s0165176525004537

DOI: 10.1016/j.econlet.2025.112616

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