Title: Block wild bootstrap-based CUSUM tests for simultaneous changes of mean and variance robust to high persistence
Authors: Taewook Lee - Hankuk University of Foreign Studies (Korea, South) [presenting]
Changryong Baek - Sungkyunkwan University (Korea, South)
Abstract: The conventional CUSUM tests for mean and variance changes tend to be over-sized in the presence of high persistence in mean or/and variance. To overcome such shortcomings, we propose a block wild bootstrap-based CUSUM test (CUSUM-BWB) for simultaneous changes in mean and variance. Our simulation study shows that the CUSUM-BWB tests achieve the correct sizes and comparable powers in finite samples.