Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/172846
Authors: 
Wenger, Kai
Leschinski, Christian
Sibbertsen, Philipp
Year of Publication: 
2017
Series/Report no.: 
Hannover Economic Papers (HEP) 592
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.
Subjects: 
Fractional Integration
Structural Breaks
Long Memory
JEL: 
C12
C22
Document Type: 
Working Paper

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