Restoring monotonic power in Wald/LM-type tests
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Publication:498747
DOI10.1016/j.econlet.2014.10.020zbMath1321.62113OpenAlexW2010222441MaRDI QIDQ498747
Publication date: 29 September 2015
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2014.10.020
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)
Related Items (2)
A test for changing trends with monotonic power ⋮ Testing for shifts in mean with monotonic power against multiple structural changes
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- 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
- Strong rules for detecting the number of breaks in a time series
- Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
- Tests for Parameter Instability and Structural Change With Unknown Change Point
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