Testing for a break in persistence under long-range dependencies and mean shifts
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We show that the CUSUM-squared based test for a change in persistence by Leybourne et al. (J Time Ser Anal 28:408–433, 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.
KeywordsBreak in persistence Long memory Structural break Level shift
Mathematics Subject Classification (2000)C12 C22
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- R Development Core Team (2008) R: a language and environment for statistical computing. http://www.r-project.org