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Bootstrap testing for discontinuities under long-range dependence

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  • Beran, Jan
  • Shumeyko, Yevgen

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.

Suggested Citation

  • Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.
    • Handle: RePEc:eee:jmvana:v:105:y:2012:i:1:p:322-347
    DOI: 10.1016/j.jmva.2011.10.003
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