@TechReport{dp-647,
  author   = {Wenger, Kai and Leschinski, Christian},
  astring  = {Kai Wenger and Christian Leschinski},
  title    = {Fixed-Bandwidth CUSUM Tests Under Long Memory},
  month    = {December},
  year     = {2018},
  pages    = {18},
  size     = {398},
  number   = {647},
  language = {en},
  keywords = {Fixed-bandwidth asymptotics; Fractional Integration; Long Memory; Structural Breaks},
  jelclass = {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. }}