Description Usage Arguments Details Value Author(s) References See Also Examples

This function performs a LM-type test for a change in persistence as suggested by Martins and Rodrigues (2014). Under the null hypothesis the memory parameter d is constant over the sample. Under the alternative an increase or a decrease of the memory parameter has occured over time.

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`x` |
the univariate numeric vector to be investigated. Missing values are not allowed. |

`trend` |
whether the time series exhibits a trend, |

`tau` |
the function tests in the interval |

`statistic` |
which type of test statistic should be used, |

`simu` |
whether critical values should be simulated or interpolated, |

`M` |
number of replications in case critical values should be simulated. Default is |

`serial` |
boolean, indicating whether to account for serial correlation of the errors. Default is |

The critical values of the tests vary with sample size and memory parameter d. If `simu=0`

, the critical values provided
are based on linear interpolation of the critical values simulated by Martins and Rodrigues (2014). These are, however, only valid for `tau=0.2`

and `serial=FALSE`

.
In case that non-default values are chosen for `tau`

or `serial`

, it is recommended to set `simu=1`

which means that critical values are simulated based on the given data using M replications.
Caution, for a time series of length `T=750`

and `M=10,000`

replications this takes approximately twelve hours with increasing duration for higher T or M.
It should be noted, however, that M smaller than 10,000 make the results unreliable.

Returns a matrix that consists of test statistic and critical values (corresponding to `alpha=0.1,0.05,0.01`

) for testing against an increase in memory, against a decrease in memory, and against a change in an unknown direction.

Janis Becker

Martins, L.. and Rodrigues, P. (2014): Testing for persistence change in fractionally integrated models: An application to world inflation rates. Computational Statistics and Data Analysis, 76, pp. 502-522.

`cusum_test`

, `LBI_test`

, `LKSN_test`

, `ratio_test`

.

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