Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/37112
Authors: 
Sibbertsen, Philipp
Willert, Juliane
Year of Publication: 
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

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