Fixed-Bandwidth CUSUM Tests Under Long Memory
Autor: Kai Wenger and Christian Leschinski
Nummer: 647, Dec 2018, pp. 18
JEL-Class: C12, C22
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.
Zusammenfassung:
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