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Title:Testing for a break in persistence under long-range dependencies and mean shifts PDF Logo
Authors:Sibbertsen, Philipp
Willert, Juliane
Issue Date:2009
Series/Report no.:Discussion papers // School of Economics and Management of the Hanover Leibniz University 422
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
Subjects:Break in persistence
long memory
structural break
level shift.
JEL:C12
C22
Document Type:Working Paper
Appears in Collections:Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover

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