Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/73135
Authors: 
Heinen, Florian
Willert, Juliane
Year of Publication: 
2011
Series/Report no.: 
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät, Universität Hannover 479
Abstract: 
We consider the detection of a change in persistence of a long range dependent time series. The usual approach is to use one-shot tests to detect a change in persistence a posteriori in a historical data set. However, as breaks can occur at any given time and data arrives steadily it is desirable to detect a change in persistence as soon as possible. We propose the use of a MOSUM type test which allows sequential application whenever new data arrives. We derive the asymptotic distribution of the test statistic and prove consistency. We further study the finite sample behavior of the test and provide an empirical application.
Subjects: 
Change in persistence
long range dependency
MOSUM test
JEL: 
C12
C22
Document Type: 
Working Paper

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