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, 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)

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Cited in

(9)

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

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