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A Simple Test on Structural Change in Long-Memory Time Series

Autor: Kai Wenger and Christian Leschinski and Philipp Sibbertsen
Nummer: 592, Apr 2017, pp. 7
JEL-Class: C12, C22

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 well.

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