IDEAS home Printed from https://ideas.repec.org/a/ebl/ecbull/eb-04c20029.html
   My bibliography  Save this article

A nonparametric adjustment for tests of changing mean

Author

Listed:
  • Ted Juhl

    () (University of Kansas)

Abstract

When testing for a change in mean of a time series, the null hypothesis is no change in mean. However, a change in mean causes a bias in the estimation of serial correlation parameters. This bias can cause nonmonotonic power to the point that if the change is big enough, power can go to zero. In this paper, we show that a nonparametric correction can restore power. The procedure is illustrated with a small Monte Carlo experiment.

Suggested Citation

  • Ted Juhl, 2004. "A nonparametric adjustment for tests of changing mean," Economics Bulletin, AccessEcon, vol. 3(34), pages 1-11.
  • Handle: RePEc:ebl:ecbull:eb-04c20029
    as

    Download full text from publisher

    File URL: http://www.accessecon.com/pubs/EB/2004/Volume3/EB-04C20029A.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
    2. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
    3. Vogelsang, Timothy J., 1997. "Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series," Econometric Theory, Cambridge University Press, vol. 13(06), pages 818-848, December.
    4. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    Full references (including those not matched with items on IDEAS)

    More about this item

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-04c20029. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.