Fixed-Bandwidth CUSUM Tests Under Long Memory

Kai Wenger and Christian Leschinski

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

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.

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)
Pages: 18 pages
Date: 2018-12
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Fixed-bandwidth CUSUM tests under long memory (2021)
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