Testing for a break in persistence under long-range dependencies and mean shifts
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
(This abstract was borrowed from another version of this item.)
Volume (Year): 53 (2012)
Issue (Month): 2 (May)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/statistics/business/journal/362|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Philipp Sibbertsen, 2004.
"Long memory versus structural breaks: An overview,"
Springer, vol. 45(4), pages 465-515, October.
- 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.
- Philipp Sibbertsen & Juliane Willert, 2012. "Testing for a break in persistence under long-range dependencies and mean shifts," Statistical Papers, Springer, vol. 53(2), pages 357-370, May.
- Anindya Banerjee & Robin L. Lumsdaine & James H. Stock, 1990.
"Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence,"
NBER Working Papers
3510, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- 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.
- Sibbertsen, Philipp & Kruse, Robinson, 2007. "Testing for a break in persistence under long-range dependencies," Hannover Economic Papers (HEP) dp-381, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
When requesting a correction, please mention this item's handle: RePEc:spr:stpapr:v:53:y:2012:i:2:p:357-370. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.