Tests for a Level Shift and the Non-Monotonic Power Problem
-
- Yamazaki Daisuke
- 一橋大学大学院経済学研究科
-
- Kurozumi Eiji
- 一橋大学大学院経済学研究科
Bibliographic Information
- Other Title
-
- レベル・シフトの検定と検出力の非単調性
- レベル ・ シフト ノ ケンテイ ト ケンシュツリョク ノ ヒタンチョウセイ
Search this article
Abstract
This paper investigates tests for a shift in mean for serially correlated time series. It is known in the literature that LM-type tests suffer from the so-called non-monotonic power problem in the sense that the power decreases even if the magnitude of break gets larger. On the other hand, Wald-type tests do not have the non-monotonic power problem but they tend to suffer from over-size distortion. Several methods to overcome these problems have been developed in the literature and we propose a new test with a good finite sample property by modifying the existing test. We investigate the finite sample property of our new method and it turns out that our test performs better than the other tests in view of both size and power.
Journal
-
- Journal of the Japan Statistical Society, Japanese Issue
-
Journal of the Japan Statistical Society, Japanese Issue 44 (1), 61-74, 2014
Japan Statistical Society
- Tweet
Details 詳細情報について
-
- CRID
- 1390282679413637504
-
- NII Article ID
- 110009864636
-
- NII Book ID
- AA1105098X
-
- ISSN
- 21891478
- 03895602
-
- NDL BIB ID
- 025869643
-
- Text Lang
- ja
-
- Data Source
-
- JaLC
- NDL
- NDL-Digital
- CiNii Articles
- KAKEN
-
- Abstract License Flag
- Disallowed