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	Tests for changing mean with monotonic power
	Juhl, Ted ; Xiao, Zhijie
	2010-10-12 ; 2010-10-12
关键词	ABSOLUTELY REGULAR PROCESSES COVARIANCE-MATRIX ESTIMATION TIME-SERIES PARAMETER INSTABILITY STRUCTURAL-CHANGE U-STATISTICS MODELS HETEROSKEDASTICITY Economics Mathematics, Interdisciplinary Applications Social Sciences, Mathematical Methods
中文摘要	Several widely used tests for a changing mean exhibit nonmonotonic power in finite samples, due to "incorrect" estimation of nuisance parameters under the alternative. In this paper, we study the issue of nonmonotonic power in testing for changing mean. We investigate the asymptotic power properties of the tests, using a new framework where alternatives are characterized as having "large" changes. The asymptotic analysis provides a theoretical explanation to the power problem. Modified tests that have monotonic power against a wide range of alternatives of structural change are proposed. Instead of estimating the nuisance parameters based on ordinary least squares residuals, the proposed tests use modified estimators, based on nonparametric regression residuals. It is shown that tests based on the modified long-run variance estimator provide an improved rate of divergence of the tests under the alternative of a change in mean. Tests for structural breaks based on such an estimator are able to remain consistent, while still retaining the same asymptotic distribution under the null hypothesis of constant mean. (C) 2008 Elsevier B.V. All rights reserved.
语种	英语 ; 英语
出版者	ELSEVIER SCIENCE SA ; LAUSANNE ; PO BOX 564, 1001 LAUSANNE, SWITZERLAND
内容类型	期刊论文
源URL	[http://hdl.handle.net/123456789/78744]
专题	清华大学
推荐引用方式 GB/T 7714	Juhl, Ted,Xiao, Zhijie. Tests for changing mean with monotonic power[J],2010, 2010.
APA	Juhl, Ted,&Xiao, Zhijie.(2010).Tests for changing mean with monotonic power..
MLA	Juhl, Ted,et al."Tests for changing mean with monotonic power".(2010).

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