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

被引：5
|
作者：
Sibbertsen, Philipp [1 ]
Willert, Juliane [1 ]
机构：
[1] Leibniz Univ Hannover, Inst Stat, Fac Econ & Management, D-30167 Hannover, Germany
来源：
STATISTICAL PAPERS | 2012年 / 53卷 / 02期
关键词：
Break in persistence; Long memory; Structural break; Level shift;
D O I：
10.1007/s00362-010-0342-5
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：357 / 370
页数：14
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