Fixed-bandwidth CUSUM tests under long memory

Kai Wenger and Christian Leschinski

Econometrics and Statistics, 2021, vol. 20, issue C, 46-61

Abstract: A family of self-normalized CUSUM tests for structural change under long memory is proposed. The test statistics apply non-parametric kernel-based 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.

Keywords: Fixed-bandwidth asymptotics; Fractional integration; Long memory; Structural breaks (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Fixed-Bandwidth CUSUM Tests Under Long Memory (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:20:y:2021:i:c:p:46-61

DOI: 10.1016/j.ecosta.2019.08.001

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