Fixed-bandwidth CUSUM tests under long memory
نویسندگان
چکیده
A family of self-normalized CUSUM tests for structural change under long memory is proposed. The test statistics apply non-parametric kernel-based long-run variance estimators and have well-defined limiting distributions that only depend on the long-memory parameter. Monte Carlo simulation shows these provide finite sample size control while outperforming competing procedures in terms power.
منابع مشابه
Minimum Distance Lack-of-Fit Tests under Long Memory Errors
This paper discusses some tests of lack-of-fit of a parametric regression model when errors form a long memory moving average process with the long memory parameter 0 < d < 1/2, and when design is non-random and uniform on [0, 1]. These tests are based on certain minimized distances between a nonparametric regression function estimator and the parametric model being fitted. The paper investigat...
متن کاملOptimal Spectral Bandwidth for Long Memory
For long range dependent time series with a spectral singularity at frequency zero, a theory for optimal bandwidth choice in non-parametric analysis of the singularity was developed by Robinson (1994a). In the present paper, the optimal bandwidths are compared with those in case of a smooth spectrum. They are also analysed in case of fractional ARIMA models and calculated as a function of the s...
متن کاملTaking Memory Tests Improves Long-Term Retention
Taking a memory test not only assesses what one knows, but also enhances later retention, a phenomenon known as the testing effect. We studied this effect with educationally relevant materials and investigated whether testing facilitates learning only because tests offer an opportunity to restudy material. In two experiments, students studied prose passages and took one or three immediate free-...
متن کاملOn the Power of R/S-Type Tests under Contiguous and Semi-Long Memory Alternatives
The paper deals with the power and robustness of the R/S type tests under “contiguous” alternatives. We briefly review some long memory models in levels and volatility, and describe the R/S-type tests used to test for the presence of long memory. The empirical power of the tests is investigated when replacing the fractional difference operator (1 − L)d by the operator (1 − rL)d , with r < 1 clo...
متن کاملAccurate Tests and Intervals Based on Linear Cusum Statistics
Suppose that we are monitoring incoming observations for a change in mean via a cusum test statistic. The usual nonparametric methods give first and second order approximations for the oneand two-sided cases. We show how to improve the order of these approximations for linear statistics.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Econometrics and Statistics
سال: 2021
ISSN: ['2452-3062', '2468-0389']
DOI: https://doi.org/10.1016/j.ecosta.2019.08.001