A CUSUM test for breaks in fractional cointegration

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. • We propose a CUSUM test for breaks in a fractional cointegration model. • We introduce a new bootstrap procedure to generate critical values. • A non-trivial limit distribution is derived and consistency is proven. • In a Monte Carlo study, we find good size and power for most orders of integration.

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Publication Details

Journal
Economics Letters
Published
2025-09-22
DOI
https://doi.org/10.1016/j.econlet.2025.112616
Citations
1
Primary Topic
Monetary Policy and Economic Impact
Type
article
Field-Weighted Citation Impact
3.09
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article

A CUSUM test for breaks in fractional cointegration

Philipp Sibbertsen, Krischan Fitter
1 citations
Economics Letters
Monetary Policy and Economic Impact
3.09
article

A CUSUM test for breaks in fractional cointegration

Philipp Sibbertsen, Krischan Fitter
article en
1 citations

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. • We propose a CUSUM test for breaks in a fractional cointegration model. • We introduce a new bootstrap procedure to generate critical values. • A non-trivial limit distribution is derived and consistency is proven. • In a Monte Carlo study, we find good size and power for most orders of integration.

Economics LettersVol. 256
Leibniz University Hannover (DE)
Openalex Percentile: Top 7%
Monetary Policy and Economic Impact
3.09
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