memochange

swMATH31534CRANmemochangeMaRDI QIDQ43245

Testing for Structural Breaks under Long Memory and Testing for Changes in Persistence

Janis Becker, Kai Wenger

Last update: 26 July 2020

Copyright license: GNU General Public License, version 2.0

Software version identifier: 1.1.1

Source code repository: https://github.com/cran/memochange

Cites work

• Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test
• Tests of stationarity against a change in persistence
• Non-Parametric Change-Point Tests for Long-Range Dependent Data
• Modified tests for a change in persistence
• The effect of long-range dependence on change-point estimators
• Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes
• A FIXED-bTEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION
• Tests for a change in persistence against the null of difference‐stationarity
• On tests for changes in persistence
• CUSUM of Squares-Based Tests for a Change in Persistence
• Testing for persistence change in fractionally integrated models: An application to world inflation rates
• A simple test of changes in mean in the possible presence of long-range dependence
• Testing for a break in persistence under long-range dependencies
• Change-in-mean problem for long memory time series models with applications
• A simple test on structural change in long-memory time series

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