Restoring monotone power in the CUSUM test

DOI10.1016/j.econlet.2007.04.006zbMath1255.91324OpenAlexW2037332059MaRDI QIDQ1934668

Elena Andreou

Publication date: 29 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.04.006

zbMATH Keywords

structural break testheteroskedastic and autocorrelation consistent estimator

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods ⋮ Restoring monotone power in the CUSUM test ⋮ Segmenting mean-nonstationary time series via trending regressions

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A functional central limit theorem for weakly dependent sequences of random variables
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• Strong rules for detecting the number of breaks in a time series
• Restoring monotone power in the CUSUM test
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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