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Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series

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  • Vogelsang, Timothy J.

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  • Vogelsang, Timothy J., 1998. "Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series," Journal of Econometrics, Elsevier, vol. 88(2), pages 283-299, November.
    • Handle: RePEc:eee:econom:v:88:y:1998:i:2:p:283-299
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    1. Jushan Bai, 1994. "Least Squares Estimation Of A Shift In Linear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(5), pages 453-472, September.
    2. Ploberger, W & Kramer, W & Alt, R, 1989. "A Modification of the CUSUM Test in the Linear Regression Model with Lagged Dependent Variables," Empirical Economics, Springer, vol. 14(2), pages 65-75.
    3. Vogelsang, Timothy J, 1998. "Testing for a Shift in Mean without Having to Estimate Serial-Correlation Parameters," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(1), pages 73-80, January.
    4. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
    5. Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-285, March.
    6. Vogelsang, Timothy J., 1997. "Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series," Econometric Theory, Cambridge University Press, vol. 13(6), pages 818-848, December.
    7. Timothy J. Vogelsang, 1998. "Trend Function Hypothesis Testing in the Presence of Serial Correlation," Econometrica, Econometric Society, vol. 66(1), pages 123-148, January.
    8. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-162, April.
    9. Nelson, Forrest D & Savin, N E, 1990. "The Danger of Extrapolating Asymptotic Local Power," Econometrica, Econometric Society, vol. 58(4), pages 977-981, July.
    10. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    11. Chu, Chia-Shang James & White, Halbert, 1992. "A Direct Test for Changing Trend," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 289-299, July.
    12. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    13. Kramer, Walter & Ploberger, Werner & Alt, Raimund, 1988. "Testing for Structural Change in Dynamic Models," Econometrica, Econometric Society, vol. 56(6), pages 1355-1369, November.
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    Cited by:

    1. Juhl, Ted & Xiao, Zhijie, 2009. "Tests for changing mean with monotonic power," Journal of Econometrics, Elsevier, vol. 148(1), pages 14-24, January.
    2. Kejriwal, Mohitosh, 2009. "Tests for a mean shift with good size and monotonic power," Economics Letters, Elsevier, vol. 102(2), pages 78-82, February.
    3. Deng, Ai & Perron, Pierre, 2008. "A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change," Journal of Econometrics, Elsevier, vol. 142(1), pages 212-240, January.
    4. Dong Jin Lee, 2011. "Bootstrap Tests for Structural Breaks When the Regressors and Error Term are Nonstationary," Working papers 2011-05, University of Connecticut, Department of Economics.
    5. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus & Teyssiere, Gilles, 2003. "Rescaled variance and related tests for long memory in volatility and levels," Journal of Econometrics, Elsevier, vol. 112(2), pages 265-294, February.
    6. Andreou, Elena, 2008. "Restoring monotone power in the CUSUM test," Economics Letters, Elsevier, vol. 98(1), pages 48-58, January.
    7. Bilke, L., 2005. "Break in the Mean and Persistence of Inflation: a Sectoral Analysis of French CPI," Working papers 122, Banque de France.
    8. Breitung, Jörg & Eickmeier, Sandra, 2011. "Testing for structural breaks in dynamic factor models," Journal of Econometrics, Elsevier, vol. 163(1), pages 71-84, July.
    9. Papell, David H., 2002. "The great appreciation, the great depreciation, and the purchasing power parity hypothesis," Journal of International Economics, Elsevier, vol. 57(1), pages 51-82, June.
    10. Perron, Pierre & Yabu, Tomoyoshi, 2009. "Estimating deterministic trends with an integrated or stationary noise component," Journal of Econometrics, Elsevier, vol. 151(1), pages 56-69, July.
    11. Altissimo, Filippo & Corradi, Valentina, 2003. "Strong rules for detecting the number of breaks in a time series," Journal of Econometrics, Elsevier, vol. 117(2), pages 207-244, December.
    12. Elliott, Graham & Muller, Ulrich K., 2007. "Confidence sets for the date of a single break in linear time series regressions," Journal of Econometrics, Elsevier, vol. 141(2), pages 1196-1218, December.
    13. Bilke, Laurent, 2005. "Break in the mean and persistence of inflation: a sectoral analysis of French CPI," Working Paper Series 463, European Central Bank.
    14. Crainiceanu, Ciprian & Vogelsang, Timothy, 2001. "Spectral Density Bandwidth Choice: Source of Nonmonotonic Power for Tests of a Mean Shift in a Time Series," Working Papers 01-14, Cornell University, Center for Analytic Economics.
    15. Juhl, Ted & Xiao, Zhijie, 2005. "A nonparametric test for changing trends," Journal of Econometrics, Elsevier, vol. 127(2), pages 179-199, August.
    16. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.

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