Fixed‐banalysis of LM‐type tests for a shift in mean
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Publication:4913918
DOI10.1111/j.1368-423X.2011.00341.xzbMath1284.62531OpenAlexW1899580465WikidataQ84319010 ScholiaQ84319010MaRDI QIDQ4913918
Jingjing Yang, Timothy J. Vogelsang
Publication date: 17 April 2013
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2011.00341.x
Nonparametric estimation (62G05) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)
Related Items (6)
A FIXED-bTEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION ⋮ Improving the finite sample performance of tests for a shift in mean ⋮ The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests ⋮ Powerful tests for structural changes in volatility ⋮ Inference on a Structural Break in Trend with Fractionally Integrated Errors ⋮ Power properties of the modified CUSUM tests
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
- Tests for changing mean with monotonic power
- Tests for a mean shift with good size and monotonic power
- Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Time Series Regression with a Unit Root
- Nonmonotonic power for tests of a mean shift in a time series§
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