Research Repository

Testing for a Change in Mean under Fractional Integration

Iacone, F and Leybourne, SJ and Taylor, AMR (2017) 'Testing for a Change in Mean under Fractional Integration.' Journal of Time Series Econometrics, 9 (1). ISSN 1941-1928

[img]
Preview
Text
Testing_for_a_Change_in_Mean_under_Fractional_Integration.pdf - Published Version

Download (449kB) | Preview

Abstract

We consider testing for the presence of a change in mean, at an unknown point in the sample, in data that are possibly fractionally integrated, and of unknown order. This testing problem has recently been considered in a number of papers, most notably Shao (2011, “A Simple Test of Changes in Mean in the Possible Presence of Long-Range Dependence.” Journal of Time Series Analysis 32:598–606) and Iacone, Leybourne, and Taylor (2013b, “A Fixed-b Test for a Break in Level at an Unknown Time under Fractional Integration.” Journal of Time Series Analysis 35:40–54) who employ Wald-type statistics based on OLS estimation and rely on a self-normalization to overcome the fact that the standard Wald statistic does not have a well-defined limiting distribution across different values of the memory parameter. Here, we consider an alternative approach that uses the standard Wald statistic but is based on quasi-GLS estimation to control for the effect of the memory parameter. We show that this approach leads to significant improvements in asymptotic local power.

Item Type: Article
Uncontrolled Keywords: change in mean, fractional integration, Wald statistic
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Jim Jamieson
Date Deposited: 29 Jun 2017 15:22
Last Modified: 31 Jan 2018 10:19
URI: http://repository.essex.ac.uk/id/eprint/19922

Actions (login required)

View Item View Item