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Testing for a break in persistence under long-range dependencies and mean shifts

  • Philipp Sibbertsen

    ()

  • Juliane Willert

We show that the CUSUM-squared based test for a change in persistence by Leybourne et al. (2007) is not robust against shifts in the mean. A mean shift leads to serious size distortions. Therefore, adjusted critical values are needed when it is known that the data generating process has a mean shift. These are given for the case of one mean break. Response curves for the critical values are derived and a Monte Carlo study showing the size and power properties under this general de-trending is given

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File URL: http://hdl.handle.net/10.1007/s00362-010-0342-5
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Article provided by Springer in its journal Statistical Papers.

Volume (Year): 53 (2012)
Issue (Month): 2 (May)
Pages: 357-370

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Handle: RePEc:spr:stpapr:v:53:y:2012:i:2:p:357-370
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  1. Philipp Sibbertsen & Robinson Kruse, 2009. "Testing for a break in persistence under long-range dependencies," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(3), pages 263-285, 05.
  2. Sibbertsen, Philipp & Willert, Juliane, 2009. "Testing for a break in persistence under long-range dependencies and mean shifts," Hannover Economic Papers (HEP) dp-422, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  3. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
  4. Belaire-Franch, Jorge, 2005. "A Proof Of The Power Of Kim'S Test Against Stationary Processes With Structural Breaks," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1172-1176, December.
  5. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-87, July.
  6. Kim, Jae-Young, 2000. "Detection of change in persistence of a linear time series," Journal of Econometrics, Elsevier, vol. 95(1), pages 97-116, March.
  7. Stephen Leybourne & Robert Taylor & Tae-Hwan Kim, 2007. "CUSUM of Squares-Based Tests for a Change in Persistence," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(3), pages 408-433, 05.
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