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dc.contributor.authorSibbertsen, Philippen
dc.contributor.authorWillert, Julianeen
dc.date.accessioned2009-07-20-
dc.date.accessioned2010-08-03T13:10:31Z-
dc.date.available2010-08-03T13:10:31Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aLeibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät |cHannoveren
dc.relation.ispartofseries|aDiskussionsbeitrag |x422en
dc.subject.jelC12en
dc.subject.jelC22en
dc.subject.ddc330en
dc.subject.keywordBreak in persistenceen
dc.subject.keywordlong memoryen
dc.subject.keywordstructural breaken
dc.subject.keywordlevel shift.en
dc.subject.stwZeitreihenanalyseen
dc.subject.stwStrukturbruchen
dc.subject.stwStatistischer Testen
dc.subject.stwTheorieen
dc.titleTesting for a break in persistence under long-range dependencies and mean shifts-
dc.type|aWorking Paperen
dc.identifier.ppn605018960en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:han:dpaper:dp-422en

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