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Statistical Papers

, Volume 53, Issue 2, pp 357–370 | Cite as

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

  • Philipp SibbertsenEmail author
  • Juliane Willert
Regular Article

Abstract

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.

Keywords

Break in persistence Long memory Structural break Level shift 

Mathematics Subject Classification (2000)

C12 C22 

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References

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Copyright information

© Springer-Verlag 2010

Authors and Affiliations

  1. 1.Institute of Statistics, Faculty of Economics and ManagementLeibniz Universität HannoverHannoverGermany

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