%0 Journal Article
%T Testing for Break in Persistence Under Long Memory and Variance Break
%J -
%D 2018
%R http://dx.doi.org/10.3968/10239
%X We consider the problem of testing for a break in persistence with long memory when the long memory is subject a variance break. The limiting distribution is derived under the null and the alternative hypothesis. The CUSUM of squared-based test diverge to infinity under the against of alternative as the sample size grows. We find that the size and power of the CUSUM of squared-based test suffer severe distortions due to negligible variance break. The numerical simulation results are consistent with our theoretical analysis.
%K Variance change
%K Long memory series
%K CUSUM of squared-based test
%K Break of persistence
%U http://cscanada.net/index.php/mse/article/view/10239