Tests for a level shift and the non-monotonic power problem

MaRDI QIDQ5248178zbMATH OpenFDO

Authors Daisuke Yamazaki, Eiji Kurozumi

Publication date 27 April 2015

Mathematics Subject Classification ID

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

Recommendations

• Tests for a mean shift with good size and monotonic power
• Restoring monotonic power in Wald/LM-type tests
• Tests for changing mean with monotonic power
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• Nonmonotonic power for tests of a mean shift in a time series§

Cited in

(7)

• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• Power Variations and Testing for Co‐Jumps: The Small Noise Approach
• Fixed-b analysis of LM-type tests for a shift in mean
• Restoring monotonic power in Wald/LM-type tests
• Serial correlation robust LM type tests for a shift in trend
• Nonmonotonic power for tests of a mean shift in a time series§
• Improving the finite sample performance of tests for a shift in mean

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