TY - JOUR
T1 - Testing for shifts in mean with monotonic power against multiple structural changes
AU - Yamazaki, Daisuke
N1 - Funding Information:
The author gratefully acknowledges the financial support by the Japan Society for the Promotion of Science (JSPS) Research Fellowship for Young Scientists (KAKENHI Grant Number 16J07085). The author is grateful to Eiji Kurozumi, Yoshihiko Nishiyama, and the conference participants at Hitotsubashi University, Okayama University, and the University of Tokyo. All remaining errors are mine.
Funding Information:
The author gratefully acknowledges the financial support by the Japan Society for the Promotion of Science (JSPS) Research Fellowship for Young Scientists (KAKENHI Grant Number 16J07085).
Publisher Copyright:
© 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2019/7/24
Y1 - 2019/7/24
N2 - 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.
AB - 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.
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U2 - 10.1080/00949655.2019.1606916
DO - 10.1080/00949655.2019.1606916
M3 - Article
AN - SCOPUS:85064684592
SN - 0094-9655
VL - 89
SP - 2006
EP - 2030
JO - Journal of Statistical Computation and Simulation
JF - Journal of Statistical Computation and Simulation
IS - 11
ER -