Monotonic Power in tests for structural change in the mean based on orthonormal series filtering
AbstractThe paper proposes a method that solves the non-monotonic power problem of a family of structural changes in mean tests based on an orthonormal series filtering of the error process before estimating variance of the test statistics. This method yields a consistent estimator for the variance under the null and various parameter change alternatives, retains the asymptotic distribution of these change-point statistics and restores their monotonic power while retaining good size properties.
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 394.
Date of creation: 04 Jul 2006
Date of revision:
structural break test; heteroskedastic and autocorrelation consistent estimator; orthonormal series;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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