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Testing for a break in persistence under long-range dependencies and mean shifts

Philipp Sibbertsen and Juliane Willert

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Abstract: We show that the CUSUM-squared based test for a change in persistence by Leybourne et al. (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

Keywords: Break in persistence; long memory; structural break; level shift (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2009-07
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

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http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-422.pdf (application/pdf)

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Journal Article: Testing for a break in persistence under long-range dependencies and mean shifts (2012) Downloads
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