Tests for a mean shift with good size and monotonic power

DOI10.1016/J.ECONLET.2008.11.013MaRDI QIDQ1036841zbMATH OpenOpenAlexFDO

Authors 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

hybrid estimatorlong-run variancenon-monotonic powerWald tests

Mathematics Subject Classification ID

Point estimation (62F10) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Nonmonotonic power for tests of a mean shift in a time series§
• The score test statistic of a general mean-shift model
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• Testing for shifts in mean with monotonic power against multiple structural changes
• Mean shift testing in correlated data
• A monotonicity property of the power function of multivariate tests
• Testing monotone high-dimensional distributions
• Testing monotone high‐dimensional distributions
• Goodness-of-fit test for monotone functions
• Tests of stochastic monotonicity with improved power

Cites work

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

Cited in

(17)

• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• 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
• The score test statistic of a general mean-shift model
• Fixed-b analysis of LM-type tests for a shift in mean
• Testing for factor loading structural change under common breaks
• Restoring monotonic power in Wald/LM-type tests
• 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
• Tests for a level shift and the non-monotonic power problem
• Nonmonotonic power for tests of a mean shift in a time series§
• On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
• Power properties of the modified CUSUM tests
• Difference-based covariance matrix estimation in time series nonparametric regression with application to specification tests
• Long-run variance estimation for spatial data under change-point alternatives
• Improving the finite sample performance of tests for a shift in mean

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