A CUSUM test for breaks in fractional cointegration

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2025-09-18 DOI:10.1016/j.econlet.2025.112616

Krischan Fitter, Philipp Sibbertsen

引用次数: 0

Abstract

We propose a CUSUM type test for breaks in a fractional cointegration model. The test can be used to detect a break in the cointegrating vector and potentially for a break in the degree of integration. We establish the limiting distribution using different representations of stochastic integrals, which depend on the combined degree of integration of the series. Also, we prove consistency of the test under a break in the parameter. In a Monte-Carlo simulation we find good size and power levels for most combinations of fractional integration.

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分数协整中断裂的CUSUM检验

我们提出了一个CUSUM类型检验的断裂在分数协整模型。该测试可用于检测在协整矢量和潜在的在积分程度的突破突破。我们用随机积分的不同表示建立了极限分布，这取决于级数的组合积分度。此外，我们还证明了在参数中断情况下测试的一致性。在蒙特卡罗模拟中，我们发现分数阶积分的大多数组合具有良好的大小和功率水平。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.