Tests for a mean shift with good size and monotonic power
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Publication:1036841
DOI10.1016/j.econlet.2008.11.013zbMath1176.62086MaRDI QIDQ1036841
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
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F10: Point estimation
62M07: Non-Markovian processes: hypothesis testing
Related Items
Fixed‐banalysis of LM‐type tests for a shift in mean, Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods, Testing for shifts in mean with monotonic power against multiple structural changes, 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, Testing for factor loading structural change under common breaks, Restoring monotonic power in Wald/LM-type tests, Long-run variance estimation for spatial data under change-point alternatives, Improving the finite sample performance of 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
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§
