Testing for shifts in mean with monotonic power against multiple structural changes

Research output: Contribution to journalArticle

Abstract

It is known that several widely used structural change tests have non-monotonic power because the long-run variance is poorly estimated under the alternative hypothesis. In this paper, we propose a modified long-run variance estimator to alleviate this problem. We theoretically show that the tests with our long-run variance estimator are consistent against large multiple structural changes. Simulation results show that the proposed test performs well in finite samples.

Original languageEnglish
Pages (from-to)2006-2030
Number of pages25
JournalJournal of Statistical Computation and Simulation
Volume89
Issue number11
DOIs
Publication statusPublished - Jul 24 2019

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Modelling and Simulation
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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