Restoring monotonic power in Wald/LM-type tests

DOI10.1016/J.ECONLET.2014.10.020MaRDI QIDQ498747zbMATH OpenOpenAlexFDO

Authors Jilin Wu

Publication date 29 September 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.10.020

zbMATH Keywords

long-run variancenonmonotonic powerWald/LM-type tests

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Tests for changing mean with monotonic power
• Tests for a mean shift with good size and monotonic power
• Tests for a level shift and the non-monotonic power problem
• Restoring monotone power in the CUSUM test
• Power monotonicity in detecting volatility levels change

Cites work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• 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
• Testing for smooth structural changes in time series models via nonparametric regression
• Tests for a mean shift with good size and monotonic power
• Tests for changing mean with monotonic power
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(7)

• A test for changing trends with monotonic power
• Tests of stochastic monotonicity with improved power
• Restoring monotone power in the CUSUM test
• Tests for changing mean with monotonic power
• Fixed-b analysis of LM-type tests for a shift in mean
• Testing for shifts in mean with monotonic power against multiple structural changes
• Tests for a level shift and the non-monotonic power problem

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