EconPapers    
Economics at your fingertips  
 

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)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
Date: 2018-12
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-647.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:han:dpaper:dp-647

Access Statistics for this paper

More papers in Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Contact information at EDIRC.
Bibliographic data for series maintained by Heidrich, Christian ().

 
Page updated 2019-10-02
Handle: RePEc:han:dpaper:dp-647