Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/200659
Authors: 
Leschinski, Christian
Wenger, Kai
Year of Publication: 
2018
Series/Report no.: 
Hannover Economic Papers (HEP) 647
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.
Subjects: 
Fixed-bandwidth asymptotics
Fractional Integration
Long Memory
Structural Breaks
JEL: 
C12
C22
Document Type: 
Working Paper
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