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http://hdl.handle.net/10419/37112
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| Title: | | Testing for a break in persistence under long-range dependencies and mean shifts  |
| 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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