Bootstrap testing for discontinuities under long-range dependence

Authors:
Jan Beran;Yevgen Shumeyko
Affiliations:
-;-
Venue:
Journal of Multivariate Analysis
Year:
2012

Citing 4
Cited 0

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Abstract

We consider testing for discontinuities in a trend function when the residual process exhibits long memory. Using a wavelet decomposition of the estimated trend function into a low-resolution and a high-resolution component, a test statistic is proposed based on blockwise resampling of estimated residual variances. Asymptotic validity of the test is derived. A simulation study illustrates finite sample properties.