memochange

Test procedures and break point estimators for persistent processes that exhibit structural breaks in mean or in persistence. On the one hand the package contains the most popular approaches for testing whether a time series exhibits a break in persistence from I(0) to I(1) or vice versa, such as those of Busetti and Taylor (2004) and Leybourne, Kim, and Taylor (2007). The approach by Martins and Rodrigues (2014), which allows to detect changes from I(d1) to I(d2) with d1 and d2 being non-integers, is included as well. In case the tests reject the null of constant persistence, various breakpoint estimators are available to detect the point of the break as well as the order of integration in the two regimes. On the other hand the package contains the most popular approaches to test for a change-in-mean of a long-memory time series, which were recently reviewed by Wenger, Leschinski, and Sibbertsen (2018). These include memory robust versions of the CUSUM, sup-Wald, and Wilcoxon type tests. The tests either utilize consistent estimates of the long-run variance or a self normalization approach in their test statistics. Betken (2016) doi:10.1111/jtsa.12187 Busetti and Taylor (2004) doi:10.1016/j.jeconom.2003.10.028 Dehling, Rooch and Taqqu (2012) doi:10.1111/j.1467-9469.2012.00799.x Harvey, Leybourne and Taylor (2006) doi:10.1016/j.jeconom.2005.07.002 Horvath and Kokoszka (1997) doi:10.1016/S0378-3758(96)00208-X Hualde and Iacone (2017) doi:10.1016/j.econlet.2016.10.014 Iacone, Leybourne and Taylor (2014) doi:10.1111/jtsa.12049 Leybourne, Kim, Smith, and Newbold (2003) doi:10.1111/1368-423X.t01-1-00110 Leybourne and Taylor (2004) doi:10.1016/j.econlet.2003.12.015 Leybourne, Kim, and Taylor (2007): doi:10.1111/j.1467-9892.2006.00517.x Martins and Rodrigues (2014) doi:10.1016/j.csda.2012.07.021 Shao (2011) doi:10.1111/j.1467-9892.2010.00717.x Sibbertsen and Kruse (2009) doi:10.1111/j.1467-9892.2009.00611.x Wang (2008) doi:10.1080/00949650701216604 Wenger, Leschinski and Sibbertsen (2018) doi:10.1016/j.econlet.2017.12.007.

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