CUSUM_simple {memochange} | R Documentation |
Simple test for change-in-mean under long memory
Description
This function performs a CUSUM test on a change-in-mean that is robust under long memory. It is based on the fractionally differenced series where the long-memory parameter is estimated by a consistent estimator. The function returns the test statistic as well as the p-value of the test.
Usage
CUSUM_simple(x, d)
Arguments
x |
the univariate numeric vector to be investigated. Missing values are not allowed. |
d |
integer that specifies the long-memory parameter. |
Value
Returns a numeric vector containing the test statistic and the p-value of the test.
Author(s)
Kai Wenger
References
Wenger, K. and Leschinski, C. and Sibbertsen, P. (2018): A simple test on structural change in long-memory time series. Economics Letters, 136, pp. 90-94.
See Also
Examples
# set model parameters
T <- 500
d <- 0.2
set.seed(410)
# generate a fractionally integrated (long-memory) time series without a change in mean
tseries <- fracdiff::fracdiff.sim(n=T, d=d)$series
# generate a fractionally integrated (long-memory) time series
# with a change in mean in the middle of the series
changep <- c(rep(0,T/2), rep(1,T/2))
tseries2 <- tseries+changep
# estimate the long-memory parameter of both series via local
# Whittle approach. The bandwidth to estimate d is chosen
# as T^0.65, which is usual in literature
d_est <- LongMemoryTS::local.W(tseries, m=floor(1+T^0.65))$d
d_est2 <- LongMemoryTS::local.W(tseries2, m=floor(1+T^0.65))$d
# perform the test on both time series
CUSUM_simple(tseries, d_est)
CUSUM_simple(tseries2, d_est2)
# For the series with no change in mean the test does not
# reject the null hypothesis of a constant mean across time
# at any reasonable significance level.
# For the series with a change in mean the test rejects the
# null hypothesis at a 5% significance level.
[Package memochange version 1.1.1 Index]