Title of article
Restoring monotone power in the CUSUM test
Author/Authors
Elena Andreou، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
11
From page
48
To page
58
Abstract
This paper shows that a near-stationarity boundary condition for heteroskedastic and autocorrelation consistent estimators can solve the problem of non-monotone power of the CUSUM test for a single break in the mean of a weakly dependent process.
Keywords
Heteroskedastic and autocorrelation consistent estimator , Structural break test
Journal title
Economics Letters
Serial Year
2008
Journal title
Economics Letters
Record number
436366
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