A simple test on structural change in long-memory time series

DOI10.1016/J.ECONLET.2017.12.007MaRDI QIDQ135940zbMATH OpenOpenAlexFDO

Authors Kai Wenger, Christian Leschinski, Philipp Sibbertsen

Publication date February 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-592.pdf

zbMATH Keywords

structural breaksfractional integrationlong memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Testing for structural change in a long-memory environment
• Testing for structural change in regression with long memory processes
• A modified Wilcoxon test for change points in long-range dependent time series
• Testing for changes in the mean or variance of long memory processes
• A simple test of changes in mean in the possible presence of long-range dependence

Cites work

• scientific article; zbMATH DE number 4102338 (Why is no real title available?)
• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A fixed-b test for a break in level at an unknown time under fractional integration
• A nonlinear long memory model, with an application to US unemployment.
• A simple test of changes in mean in the possible presence of long-range dependence
• Alternative forms of fractional Brownian motion
• Change-in-mean problem for long memory time series models with applications
• Gaussian semiparametric estimation of long range dependence
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Inference on a structural break in trend with fractionally integrated errors
• Long memory and regime switching
• Long memory or structural changes: an empirical examination on inflation rates
• Long memory with stochastic variance model: a recursive analysis for US inflation
• Non-parametric change-point tests for long-range dependent data
• ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
• Testing for a Structural Break at Unknown Date with Long-memory Disturbances
• Testing for a break in trend when the order of integration is unknown
• Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test
• The Cusum Test with Ols Residuals
• The effect of long-range dependence on change-point estimators

Cited in

(10)

• Distinguishing between breaks in the mean and breaks in persistence under long memory
• Subsampling ratio tests for structural changes in time series with heavy-tailed AR( p ) errors
• Testing for structural change in a long-memory environment
• Testing for changes in the mean or variance of long memory processes
• Testing for change in long-memory stochastic volatility time series
• Long memory, realized volatility and heterogeneous autoregressive models
• A modified Wilcoxon test for change points in long-range dependent time series
• Estimating multiple breaks in mean sequentially with fractionally integrated errors
• Change-in-mean tests in long-memory time series: a review of recent developments
• Testing for structural change in regression with long memory processes

This page was built for publication: A simple test on structural change in long-memory time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q135940)