Tests for a mean shift with good size and monotonic power

DOI10.1016/j.econlet.2008.11.013zbMath1176.62086OpenAlexW2053392606MaRDI QIDQ1036841

Mohitosh Kejriwal

Publication date: 13 November 2009

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2008.11.013

zbMATH Keywords

Wald testslong-run variancehybrid estimatornon-monotonic power

Mathematics Subject Classification ID

Related Items (12)

Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods ⋮ Long-run variance estimation for spatial data under change-point alternatives ⋮ Testing for shifts in mean with monotonic power against multiple structural changes ⋮ Improving the finite sample performance of tests for a shift in mean ⋮ Testing for factor loading structural change under common breaks ⋮ Restoring monotonic power in Wald/LM-type tests ⋮ Fixed‐banalysis of LM‐type tests for a shift in mean ⋮ Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models ⋮ Statistical tests of a simple energy balance equation in a synthetic model of cotrending and cointegration ⋮ Testing for parameter constancy in the time series direction in panel data models ⋮ On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests ⋮ Power properties of the modified CUSUM tests

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Nonmonotonic power for tests of a mean shift in a time series§

This page was built for publication: Tests for a mean shift with good size and monotonic power