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ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES

Alexander Aue, Lajos Horvath, Marie Hušková and Shiqing Ling ()

Econometric Theory, 2009, vol. 25, issue 02, 411-441

Abstract: We study test procedures that detect structural breaks in underlying data sequences. In particular, we wish to discriminate between different reasons for these changes, such as (1) shifting means, (2) random walk behavior, and (3) constant means but innovations switching from stationary to difference stationary behavior. Almost all procedures presently available in the literature are simultaneously sensitive to all three types of alternatives.

Date: 2009
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