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Improving the Finite Sample Performance of Tests for a Shift in Mean

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  • YAMAZAKI, Daisuke
  • 山崎, 大輔
  • KUROZUMI, Eiji
  • 黒住, 英司

Abstract

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  • 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.
    • Handle: RePEc:hit:econdp:2014-16
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    File URL: https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/26936/070econDP14-16.pdf
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    References listed on IDEAS

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    1. Kiefer, Nicholas M. & Vogelsang, Timothy J., 2005. "A New Asymptotic Theory For Heteroskedasticity-Autocorrelation Robust Tests," Econometric Theory, Cambridge University Press, vol. 21(6), pages 1130-1164, December.
    2. Deng, Ai & Perron, Pierre, 2008. "A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change," Journal of Econometrics, Elsevier, vol. 142(1), pages 212-240, January.
    3. Graham Elliott & Ulrich K. Muller, 2006. "Efficient Tests for General Persistent Time Variation in Regression Coefficients," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 73(4), pages 907-940.
    4. 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.
    5. Andrews, Donald W. K. & Lee, Inpyo & Ploberger, Werner, 1996. "Optimal changepoint tests for normal linear regression," Journal of Econometrics, Elsevier, vol. 70(1), pages 9-38, January.
    6. Juhl, Ted & Xiao, Zhijie, 2009. "Tests for changing mean with monotonic power," Journal of Econometrics, Elsevier, vol. 148(1), pages 14-24, January.
    7. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    8. 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.
    9. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    10. Jingjing Yang & Timothy J. Vogelsang, 2011. "Fixed‐b analysis of LM‐type tests for a shift in mean," Econometrics Journal, Royal Economic Society, vol. 14(3), pages 438-456, October.
    11. Patterson, K. D., 2000. "Bias reduction in autoregressive models," Economics Letters, Elsevier, vol. 68(2), pages 135-141, August.
    12. Kejriwal, Mohitosh, 2009. "Tests for a mean shift with good size and monotonic power," Economics Letters, Elsevier, vol. 102(2), pages 78-82, February.
    13. Shao, Xiaofeng & Zhang, Xianyang, 2010. "Testing for Change Points in Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 105(491), pages 1228-1240.
    14. Sayginsoy, Özgen & Vogelsang, Timothy J., 2011. "Testing For A Shift In Trend At An Unknown Date: A Fixed-B Analysis Of Heteroskedasticity Autocorrelation Robust Ols-Based Tests," Econometric Theory, Cambridge University Press, vol. 27(5), pages 992-1025, October.
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    More about this item

    Keywords

    structural change; long-run variance; bias correction;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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