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