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Leibniz Universität Hannover >
Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/37112
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Sibbertsen, Philipp | | en_US |
| dc.contributor.author | | Willert, Juliane | | en_US |
| dc.date.accessioned | | 2009-07-20 | | en_US |
| dc.date.accessioned | | 2010-08-03T13:10:31Z | | - |
| dc.date.available | | 2010-08-03T13:10:31Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/37112 | | - |
| dc.description.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 | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Wirtschaftswiss. Fak., Leibniz Univ. Hannover | | en_US |
| dc.relation.ispartofseries | | Discussion papers // School of Economics and Management of the Hanover Leibniz University 422 | | en_US |
| dc.subject.jel | | C12 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Break in persistence | | en_US |
| dc.subject.keyword | | long memory | | en_US |
| dc.subject.keyword | | structural break | | en_US |
| dc.subject.keyword | | level shift. | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Strukturbruch | | en_US |
| dc.subject.stw | | Statistischer Test | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Testing for a break in persistence under long-range dependencies and mean shifts | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 605018960 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover
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