Tests for Changing Mean with Monotonic Power
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- Juhl, Ted & Xiao, Zhijie, 2009. "Tests for changing mean with monotonic power," Journal of Econometrics, Elsevier, vol. 148(1), pages 14-24, January.
- Ted Juhl & Zhijie Xiao, 2008. "Tests For Changing Mean With Monotonic Power," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200809, University of Kansas, Department of Economics, revised Sep 2008.
References listed on IDEAS
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Cited by:
- Ping‐Shou Zhong, 2023. "Homogeneity tests of covariance for high‐dimensional functional data with applications to event segmentation," Biometrics, The International Biometric Society, vol. 79(4), pages 3332-3344, December.
- Pierre Perron & Yohei Yamamoto, 2016.
"On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 782-844, May.
- Pierre Perron & Yohei Yamamoto, "undated". "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series 2013-012, Boston University - Department of Economics.
- Pierre Perron & Yohei Yamamoto, 2012. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Global COE Hi-Stat Discussion Paper Series gd12-258, Institute of Economic Research, Hitotsubashi University.
- Pierre Perron & Yohei Yamamoto, 2008. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series wp2008-006, Boston University - Department of Economics.
- Wu, Jilin, 2015. "Restoring monotonic power in Wald/LM-type tests," Economics Letters, Elsevier, vol. 126(C), pages 13-17.
- Ke-Li Xu & Jui-Chung Yang, 2015. "Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non-stationary Volatility," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 63-86, March.
- Chen, Zhihong & Xia, Huizhu, 2020. "Trend instrumental variable regression with an application to the US New Keynesian Phillips Curve," Economic Modelling, Elsevier, vol. 93(C), pages 595-604.
- Li, Zheng & Su, Li & Zhang, Daiqiang, 2014. "Profile least squares estimation of a partially linear time trend model with weakly dependent data," Economics Letters, Elsevier, vol. 125(3), pages 404-407.
- Jean-Yves Pitarakis, 2017. "A Simple Approach for Diagnosing Instabilities in Predictive Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(5), pages 851-874, October.
- Xu, Ke-Li, 2013. "Power monotonicity in detecting volatility levels change," Economics Letters, Elsevier, vol. 121(1), pages 64-69.
- Peiyun Jiang & Eiji Kurozumi, 2019.
"Power properties of the modified CUSUM tests,"
Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 48(12), pages 2962-2981, June.
- JIANG, Peiyun & 蒋, 佩芸 & KUROZUMI, Eiji & 黒住, 英司, 2017. "Power Properties of the Modified CUSUM Tests," Discussion Papers 2017-05, Graduate School of Economics, Hitotsubashi University.
- Alessandro Casini & Pierre Perron, 2018.
"Structural Breaks in Time Series,"
Papers
1805.03807, arXiv.org.
- Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Boston University - Department of Economics - Working Papers Series WP2019-02, Boston University - Department of Economics.
- Alexander Ludwig, 2013. "Testing the null of cointegration with a structural break: optimal kernel and bandwidth selection," Economics Bulletin, AccessEcon, vol. 33(4), pages 2828-2839.
- Grote, Claudia & Bertram, Philip, 2015. "A comparative Study of Volatility Breaks," Hannover Economic Papers (HEP) dp-558, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- YAMAZAKI, Daisuke & 山崎, 大輔 & KUROZUMI, Eiji & 黒住, 英司, 2014. "Improving the Finite Sample Performance of Tests for a Shift in Mean," Discussion Papers 2014-16, Graduate School of Economics, Hitotsubashi University.
- Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, vol. 173(1), pages 126-142.
- Lee, Taewook & Baek, Changryong, 2020. "Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification," Computational Statistics & Data Analysis, Elsevier, vol. 150(C).
- Wu, Jilin, 2016. "A test for changing trends with monotonic power," Economics Letters, Elsevier, vol. 141(C), pages 15-19.
- Górecki, Tomasz & Horváth, Lajos & Kokoszka, Piotr, 2018. "Change point detection in heteroscedastic time series," Econometrics and Statistics, Elsevier, vol. 7(C), pages 63-88.
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More about this item
Keywords
stability; changing parameters; time varying parameters;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-07-03 (Econometrics)
- NEP-ETS-2009-07-03 (Econometric Time Series)
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