@techreport{Sibbertsen2009Testing,
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},
address = {Hannover},
author = {Philipp Sibbertsen and Juliane Willert},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C12; C22; 330; Break in persistence; long memory; structural break; level shift.; Zeitreihenanalyse; Strukturbruch; Statistischer Test; Theorie},
language = {eng},
number = {422},
publisher = {Wirtschaftswiss. Fak., Leibniz Univ.},
title = {Testing for a break in persistence under long-range dependencies and mean shifts},
type = {Discussion papers // School of Economics and Management of the Hanover Leibniz University},
url = {http://hdl.handle.net/10419/37112},
year = {2009}
}
