Testing for a break in persistence under long-range dependencies and mean shifts Sibbertsen, Philipp; Willert, Juliane

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Authors
Sibbertsen, Philipp ; Willert, Juliane
Appears In
Statistical Papers
Subjects
Memory; Mathematics
Audience
Academic
Summary
Byline: Philipp Sibbertsen (1), Juliane Willert (1) Keywords: Break in persistence; Long memory; Structural break; Level shift; C12; C22 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. Author Affiliation: (1) Institute of Statistics, Faculty of Economics and Management, Leibniz Universitat Hannover, 30167, Hannover, Germany Article History: Registration Date: 03/06/2010 Received Date: 02/09/2009 Accepted Date: 12/05/2010 Online Date: 26/06/2010
Bookmark
http://trove.nla.gov.au/work/24625
Work ID
24625

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