Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/37112
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dc.contributor.authorSibbertsen, Philippen_US
dc.contributor.authorWillert, Julianeen_US
dc.date.accessioned2009-07-20en_US
dc.date.accessioned2010-08-03T13:10:31Z-
dc.date.available2010-08-03T13:10:31Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/37112-
dc.description.abstractWe 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 givenen_US
dc.language.isoengen_US
dc.publisher|aWirtschaftswiss. Fak., Leibniz Univ. |cHannoveren_US
dc.relation.ispartofseries|aDiscussion papers // School of Economics and Management of the Hanover Leibniz University |x422en_US
dc.subject.jelC12en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordBreak in persistenceen_US
dc.subject.keywordlong memoryen_US
dc.subject.keywordstructural breaken_US
dc.subject.keywordlevel shift.en_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwStrukturbruchen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwTheorieen_US
dc.titleTesting for a break in persistence under long-range dependencies and mean shiftsen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn605018960en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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