Testing for a Shift in Mean without Having to Estimate Serial-Correlation Parameters

Timothy Vogelsang

Journal of Business & Economic Statistics, 1998, vol. 16, issue 1, 73-80

Abstract: Tests for detecting a shift in the mean of univariate time series that do not require estimation of serial-correlation parameters are proposed. The statistics are valid whether the errors are stationary or have a unit root. The date of the shift may be known or unknown. The statics are based on a simple transformation of the data and are functions of partial sums of the data. These so-called partial sum statistics are shown to be asymptotically invariant to serial-correlation parameters. The statistics are shown to have good size and power properties asymptotically and in finite samples.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:16:y:1998:i:1:p:73-80

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