2012-05-01, English, Article, Report edition: Testing for a break in persistence under long-range dependencies and mean shifts.(Report) Sibbertsen, Philipp; Willert, Juliane

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Physical Description
  • Report
  • Magazine/​Journal article
Published
  • Springer, 2012 May
Language
  • English

Edition details

Title
  • Testing for a break in persistence under long-range dependencies and mean shifts.(Report)
Also Titled
  • Testing for a break in persistence under long-range dependencies and mean shifts.
Appears In
  • Statistical Papers, v.53, no.2, 2012 May, p.357(14) (ISSN: 0932-5026)
Author
  • Sibbertsen, Philipp
  • Willert, Juliane
Published
  • Springer, 2012 May
Physical Description
  • Report
  • Magazine/​Journal article
Subjects
Target 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
Terms of Use
  • COPYRIGHT 2012 Springer
Language
  • English
Database
  • Gale Academic OneFile
Identifier
  • 287373239

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