Testing for shifts in mean with monotonic power against multiple structural changes
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https://tandf.figshare.com/articles/Testing_for_shifts_in_mean_with_monotonic_power_against_multiple_structural_changes/8019875/1
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资源简介：
It is known that several widely used structural change tests have non-monotonic power because the long-run variance is poorly estimated under the alternative hypothesis. In this paper, we propose a modified long-run variance estimator to alleviate this problem. We theoretically show that the tests with our long-run variance estimator are consistent against large multiple structural changes. Simulation results show that the proposed test performs well in finite samples.
提供机构：
Taylor & Francis
创建时间：
2019-04-22
