Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series

DOI10.1016/S0304-4076(98)00034-7zbMath0933.62092WikidataQ126351853 ScholiaQ126351853MaRDI QIDQ1305671

Timothy J. Vogelsang

Publication date: 2 April 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Wald testserial correlationunit rootsimulationsstructural changeslope shift

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (41)

Confidence sets for the date of a single break in linear time series regressions ⋮ A general panel break test based on the self-normalization method ⋮ A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change ⋮ Tests for changing mean with monotonic power ⋮ GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS ⋮ Testing for structural changes in linear regressions with time-varying variance ⋮ A test for changing trends with monotonic power ⋮ Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods ⋮ A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK ⋮ Restoring monotone power in the CUSUM test ⋮ Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification ⋮ Long-run variance estimation for spatial data under change-point alternatives ⋮ Testing for shifts in mean with monotonic power against multiple structural changes ⋮ Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models ⋮ Loss function-based change point detection in risk measures ⋮ Improving the finite sample performance of tests for a shift in mean ⋮ Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings ⋮ A Cramér-von Mises test for a class of mean time dependent CHARN models with application to change-point detection ⋮ Modified tests for variance changes in autoregressive regression ⋮ Strong rules for detecting the number of breaks in a time series ⋮ Testing the structural stability of temporally dependent functional observations and application to climate projections ⋮ Convergence of \(U\)-processes in Hölder spaces with application to robust detection of a changed segment ⋮ A self-normalization test for correlation change ⋮ Power monotonicity in detecting volatility levels change ⋮ A general approach to the joint asymptotic analysis of statistics from sub-samples ⋮ 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 ⋮ Segmenting mean-nonstationary time series via trending regressions ⋮ Powerful tests for structural changes in volatility ⋮ Testing for structural breaks in dynamic factor models ⋮ Continuous record Laplace-based inference about the break date in structural change models ⋮ Unsupervised Self-Normalized Change-Point Testing for Time Series ⋮ Testing for parameter constancy in the time series direction in panel data models ⋮ Tests for a mean shift with good size and monotonic power ⋮ Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending ⋮ On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests ⋮ Power properties of the modified CUSUM tests ⋮ Rescaled variance and related tests for long memory in volatility and levels ⋮ A nonparametric test for changing trends

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