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
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Volume (Year): 53 (2012)
Issue (Month): 2 (May)
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- 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.
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NBER Working Papers
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- Philipp Sibbertsen & Juliane Willert, 2012.
"Testing for a break in persistence under long-range dependencies and mean shifts,"
Springer, vol. 53(2), pages 357-370, May.
- 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.
- 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.
- 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.
- 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.
- 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.
- Philipp Sibbertsen, 2004.
"Long memory versus structural breaks: An overview,"
Springer, vol. 45(4), pages 465-515, October.
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