IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v192y2020ics016517652030166x.html
   My bibliography  Save this article

A modified Wilcoxon test for change points in long-range dependent time series

Author

Listed:
  • Wenger, Kai
  • Less, Vivien

Abstract

This paper considers testing for structural change in long-memory time series. We modify the Wilcoxon two-sample rank test by standardizing it with a kernel-based fixed bandwidth long-run variance estimator. The corresponding test statistic converges to a well-defined distribution under the null hypothesis. In a Monte Carlo simulation we confirm that the test provides good finite sample size and power results and compare it with an existing approach.

Suggested Citation

  • Wenger, Kai & Less, Vivien, 2020. "A modified Wilcoxon test for change points in long-range dependent time series," Economics Letters, Elsevier, vol. 192(C).
    • Handle: RePEc:eee:ecolet:v:192:y:2020:i:c:s016517652030166x
    DOI: 10.1016/j.econlet.2020.109237
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S016517652030166X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.econlet.2020.109237?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Yixiao Sun & Peter C. B. Phillips & Sainan Jin, 2008. "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing," Econometrica, Econometric Society, vol. 76(1), pages 175-194, January.
    2. Whitney K. Newey & Kenneth D. West, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(4), pages 631-653.
    3. Alexander Aue & Lajos Horváth, 2013. "Structural breaks in time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 1-16, January.
    4. Herold Dehling & Aeneas Rooch & Murad S. Taqqu, 2013. "Non-Parametric Change-Point Tests for Long-Range Dependent Data," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(1), pages 153-173, March.
    5. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    6. Xiaofeng Shao, 2010. "A self‐normalized approach to confidence interval construction in time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 343-366, June.
    7. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    8. Kai Wenger & Christian Leschinski & Philipp Sibbertsen, 2019. "Change-in-mean tests in long-memory time series: a review of recent developments," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 237-256, June.
    9. Annika Betken, 2016. "Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(6), pages 785-809, November.
    10. Kiefer, Nicholas M. & Vogelsang, Timothy J., 2005. "A New Asymptotic Theory For Heteroskedasticity-Autocorrelation Robust Tests," Econometric Theory, Cambridge University Press, vol. 21(6), pages 1130-1164, December.
    11. Kiefer, Nicholas M. & Vogelsang, Timothy J., 2002. "Heteroskedasticity-Autocorrelation Robust Testing Using Bandwidth Equal To Sample Size," Econometric Theory, Cambridge University Press, vol. 18(6), pages 1350-1366, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kai Wenger & Christian Leschinski & Philipp Sibbertsen, 2019. "Change-in-mean tests in long-memory time series: a review of recent developments," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 237-256, June.
    2. Hong, Yongmiao & Linton, Oliver & McCabe, Brendan & Sun, Jiajing & Wang, Shouyang, 2024. "Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach," Journal of Econometrics, Elsevier, vol. 238(2).
    3. Kim, Min Seong & Sun, Yixiao & Yang, Jingjing, 2017. "A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data," Journal of Econometrics, Elsevier, vol. 197(2), pages 298-322.
    4. Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
    5. Casini, Alessandro, 2023. "Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models," Journal of Econometrics, Elsevier, vol. 235(2), pages 372-392.
    6. Eben Lazarus & Daniel J. Lewis & James H. Stock, 2021. "The Size‐Power Tradeoff in HAR Inference," Econometrica, Econometric Society, vol. 89(5), pages 2497-2516, September.
    7. Kim, Min Seong & Sun, Yixiao, 2013. "Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects," Journal of Econometrics, Elsevier, vol. 177(1), pages 85-108.
    8. Hwang, Jungbin & Sun, Yixiao, 2018. "Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework," Journal of Econometrics, Elsevier, vol. 207(2), pages 381-405.
    9. Kim, Min Seong & Sun, Yixiao, 2011. "Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix," Journal of Econometrics, Elsevier, vol. 160(2), pages 349-371, February.
    10. Pötscher, Benedikt M. & Preinerstorfer, David, 2018. "Controlling the size of autocorrelation robust tests," Journal of Econometrics, Elsevier, vol. 207(2), pages 406-431.
    11. Preinerstorfer, David & Pötscher, Benedikt M., 2016. "On Size And Power Of Heteroskedasticity And Autocorrelation Robust Tests," Econometric Theory, Cambridge University Press, vol. 32(2), pages 261-358, April.
    12. Cheol-Keun Cho & Timothy J. Vogelsang, 2016. "Fixed- b Inference for Testing Structural Change in a Time Series Regression," Econometrics, MDPI, vol. 5(1), pages 1-26, December.
    13. Sun, Yixiao, 2011. "Robust trend inference with series variance estimator and testing-optimal smoothing parameter," Journal of Econometrics, Elsevier, vol. 164(2), pages 345-366, October.
    14. Sun, Yixiao & Kim, Min Seong, 2012. "Simple and powerful GMM over-identification tests with accurate size," Journal of Econometrics, Elsevier, vol. 166(2), pages 267-281.
    15. Preinerstorfer, David, 2014. "Finite Sample Properties of Tests Based on Prewhitened Nonparametric Covariance Estimators," MPRA Paper 58333, University Library of Munich, Germany.
    16. Ray, Surajit & Savin, N.E. & Tiwari, Ashish, 2009. "Testing the CAPM revisited," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 721-733, December.
    17. Casini, Alessandro, 2024. "The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity," Journal of Econometrics, Elsevier, vol. 238(2).
    18. Xiaofeng Shao, 2010. "A self‐normalized approach to confidence interval construction in time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 343-366, June.
    19. Jiang, Feiyu & Zhao, Zifeng & Shao, Xiaofeng, 2023. "Time series analysis of COVID-19 infection curve: A change-point perspective," Journal of Econometrics, Elsevier, vol. 232(1), pages 1-17.
    20. Christian A. Vossler, 2013. "Analyzing repeated-game economics experiments: robust standard errors for panel data with serial correlation," Chapters, in: John A. List & Michael K. Price (ed.), Handbook on Experimental Economics and the Environment, chapter 3, pages 89-112, Edward Elgar Publishing.

    More about this item

    Keywords

    Fixed bandwidth asymptotics; Wilcoxon test; Long memory; Structural breaks;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:192:y:2020:i:c:s016517652030166x. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.