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Monotonic Power in tests for structural change in the mean based on orthonormal series filtering


  • Elena Andreou

    (University of Cyprus)


The paper proposes a method that solves the non-monotonic power problem of a family of structural changes in mean tests based on an orthonormal series filtering of the error process before estimating variance of the test statistics. This method yields a consistent estimator for the variance under the null and various parameter change alternatives, retains the asymptotic distribution of these change-point statistics and restores their monotonic power while retaining good size properties.

Suggested Citation

  • Elena Andreou, 2006. "Monotonic Power in tests for structural change in the mean based on orthonormal series filtering," Computing in Economics and Finance 2006 394, Society for Computational Economics.
  • Handle: RePEc:sce:scecfa:394

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    More about this item


    structural break test; heteroskedastic and autocorrelation consistent estimator; orthonormal series;

    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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