Improving the finite sample performance of tests for a shift in mean

DOI10.1016/j.jspi.2015.05.002zbMath1326.62181OpenAlexW2302606099MaRDI QIDQ897636

Publication date: 7 December 2015

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/26936/070econDP14-16.pdf

zbMATH Keywords

structural change bias correction long-run variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

Testing for shifts in mean with monotonic power against multiple structural changes ⋮ Power properties of the modified CUSUM tests

Cites Work

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The Cusum Test with Ols Residuals
Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
Fixed‐banalysis of LM‐type tests for a shift in mean
Testing for Change Points in Time Series
Nonmonotonic power for tests of a mean shift in a time series§

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