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https://hdl.handle.net/10419/37112
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Sibbertsen, Philipp | en |
dc.contributor.author | Willert, Juliane | en |
dc.date.accessioned | 2009-07-20 | - |
dc.date.accessioned | 2010-08-03T13:10:31Z | - |
dc.date.available | 2010-08-03T13:10:31Z | - |
dc.date.issued | 2009 | - |
dc.identifier.uri | http://hdl.handle.net/10419/37112 | - |
dc.description.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 | en |
dc.language.iso | eng | en |
dc.publisher | |aLeibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät |cHannover | en |
dc.relation.ispartofseries | |aDiskussionsbeitrag |x422 | en |
dc.subject.jel | C12 | en |
dc.subject.jel | C22 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Break in persistence | en |
dc.subject.keyword | long memory | en |
dc.subject.keyword | structural break | en |
dc.subject.keyword | level shift. | en |
dc.subject.stw | Zeitreihenanalyse | en |
dc.subject.stw | Strukturbruch | en |
dc.subject.stw | Statistischer Test | en |
dc.subject.stw | Theorie | en |
dc.title | Testing for a break in persistence under long-range dependencies and mean shifts | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 605018960 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:han:dpaper:dp-422 | en |
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