Tests for a mean shift with good size and monotonic power

Mohitosh Kejriwal

Economics Letters, 2009, vol. 102, issue 2, 78-82

Abstract: This paper proposes tests for a mean shift based on a new hybrid estimator of the long-run variance. It is shown that these tests can bypass the non-monotonic power problem of the LM tests while maintaining adequate size properties.

Keywords: Long-run; variance; Wald; tests; Hybrid; estimator; Non-monotonic; power (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:102:y:2009:i:2:p:78-82

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