Bootstrap testing for discontinuities under long-range dependence

Jan Beran and Yevgen Shumeyko

Journal of Multivariate Analysis, 2012, vol. 105, issue 1, 322-347

Abstract: We consider testing for discontinuities in a trend function when the residual process exhibits long memory. Using a wavelet decomposition of the estimated trend function into a low-resolution and a high-resolution component, a test statistic is proposed based on blockwise resampling of estimated residual variances. Asymptotic validity of the test is derived. A simulation study illustrates finite sample properties.

Keywords: Long-range dependence; Bootstrap; Nonparametric regression; Wavelet; Thresholding; Test for discontinuity (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.jmva.2011.10.003

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