Details
| Original language | English |
|---|---|
| Pages (from-to) | 90-94 |
| Number of pages | 5 |
| Journal | Economics Letters |
| Volume | 163 |
| Early online date | 7 Dec 2017 |
| Publication status | Published - Feb 2018 |
Abstract
We propose a simple test on structural change in long-range dependent time series. It is based on the idea that the test statistic of the standard CUSUM test retains its asymptotic distribution if it is applied to fractionally differenced data. We prove that our approach is asymptotically valid, if the memory is estimated consistently under the null hypothesis. Therefore, the well-known CUSUM test can be used on the differenced data without any further modification. In a simulation study, we compare our test with a CUSUM test on structural change that is specifically constructed for long-memory time series and show that our approach performs reasonably well.
Keywords
- Fractional integration, Long memory, Structural breaks
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Economics Letters, Vol. 163, 02.2018, p. 90-94.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - A simple test on structural change in long-memory time series
AU - Wenger, Kai
AU - Leschinski, Christian
AU - Sibbertsen, Philipp
N1 - © 2017 Elsevier B.V. All rights reserved.
PY - 2018/2
Y1 - 2018/2
N2 - We propose a simple test on structural change in long-range dependent time series. It is based on the idea that the test statistic of the standard CUSUM test retains its asymptotic distribution if it is applied to fractionally differenced data. We prove that our approach is asymptotically valid, if the memory is estimated consistently under the null hypothesis. Therefore, the well-known CUSUM test can be used on the differenced data without any further modification. In a simulation study, we compare our test with a CUSUM test on structural change that is specifically constructed for long-memory time series and show that our approach performs reasonably well.
AB - We propose a simple test on structural change in long-range dependent time series. It is based on the idea that the test statistic of the standard CUSUM test retains its asymptotic distribution if it is applied to fractionally differenced data. We prove that our approach is asymptotically valid, if the memory is estimated consistently under the null hypothesis. Therefore, the well-known CUSUM test can be used on the differenced data without any further modification. In a simulation study, we compare our test with a CUSUM test on structural change that is specifically constructed for long-memory time series and show that our approach performs reasonably well.
KW - Fractional integration
KW - Long memory
KW - Structural breaks
UR - http://www.scopus.com/inward/record.url?scp=85038245992&partnerID=8YFLogxK
U2 - 10.1016/j.econlet.2017.12.007
DO - 10.1016/j.econlet.2017.12.007
M3 - Article
AN - SCOPUS:85038245992
VL - 163
SP - 90
EP - 94
JO - Economics Letters
JF - Economics Letters
SN - 0165-1765
ER -