Testing for a break in persistence under long-range dependencies and mean shifts

Abstract We show that the CUSUM-squared based test for a change in persistence by Leybourne et al. (J Time Ser Anal 28:408–433, 2007) is not robust against shifts in the mean. A mean shift leads to serious size distortions. Therefore, adjusted critical values are needed when it is known that the dat...
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Autor*in:	Sibbertsen, Philipp [verfasserIn] Willert, Juliane

Format:	Artikel
Sprache:	Englisch

Erschienen:	2010

Schlagwörter:	Break in persistence Long memory Structural break Level shift

Anmerkung:	© Springer-Verlag 2010

Übergeordnetes Werk:	Enthalten in: Statistical papers - Springer-Verlag, 1988, 53(2010), 2 vom: 26. Juni, Seite 357-370
Übergeordnetes Werk:	volume:53 ; year:2010 ; number:2 ; day:26 ; month:06 ; pages:357-370

Links:	Volltext

DOI / URN:	10.1007/s00362-010-0342-5

Katalog-ID:	OLC2025023537

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title_sort	testing for a break in persistence under long-range dependencies and mean shifts
title_auth	Testing for a break in persistence under long-range dependencies and mean shifts
abstract	Abstract We show that the CUSUM-squared based test for a change in persistence by Leybourne et al. (J Time Ser Anal 28:408–433, 2007) is not robust against shifts in the mean. A mean shift leads to serious size distortions. Therefore, adjusted critical values are needed when it is known that the data generating process has a mean shift. These are given for the case of one mean break. Response curves for the critical values are derived and a Monte Carlo study showing the size and power properties under this general de-trending is given. © Springer-Verlag 2010
abstractGer	Abstract We show that the CUSUM-squared based test for a change in persistence by Leybourne et al. (J Time Ser Anal 28:408–433, 2007) is not robust against shifts in the mean. A mean shift leads to serious size distortions. Therefore, adjusted critical values are needed when it is known that the data generating process has a mean shift. These are given for the case of one mean break. Response curves for the critical values are derived and a Monte Carlo study showing the size and power properties under this general de-trending is given. © Springer-Verlag 2010
abstract_unstemmed	Abstract We show that the CUSUM-squared based test for a change in persistence by Leybourne et al. (J Time Ser Anal 28:408–433, 2007) is not robust against shifts in the mean. A mean shift leads to serious size distortions. Therefore, adjusted critical values are needed when it is known that the data generating process has a mean shift. These are given for the case of one mean break. Response curves for the critical values are derived and a Monte Carlo study showing the size and power properties under this general de-trending is given. © Springer-Verlag 2010
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title_short	Testing for a break in persistence under long-range dependencies and mean shifts
url	https://doi.org/10.1007/s00362-010-0342-5
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author2	Willert, Juliane
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doi_str	10.1007/s00362-010-0342-5
up_date	2024-07-03T23:25:56.219Z
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