Nonmonotonic power for tests of a mean shift in a time series

被引:37
作者
Crainiceanu, Ciprian M.
Vogelsang, Timothy J.
机构
[1] Johns Hopkins Univ, Dept Biostat, Baltimore, MD 21205 USA
[2] Cornell Univ, Dept Econ, Ithaca, NY 14853 USA
[3] Cornell Univ, Dept Stat Sci, Ithaca, NY 14853 USA
关键词
CUSUM test; change point; HAC estimator; serial correlation; UNIT-ROOT; REGRESSION; HETEROSKEDASTICITY; RESIDUALS; SEQUENCES;
D O I
10.1080/10629360600569394
中图分类号
TP39 [计算机的应用];
学科分类号
081203 ; 0835 ;
摘要
The null hypothesis-based statistics CUSUM and QS are widely used for testing parameter stability. We provide examples, extensive simulation studies and theoretical results showing that these statistics fail to detect obvious shifts in the mean of a time series. Moreover, the detection probability can decrease when the magnitude of the shift in mean increases. Estimation of nuisance parameters under the null is identified as an important cause of this counterintuitive behavior of the power function. Results indicate that tests designed for the specific alternative of a shift in mean of a time series should be preferred.
引用
收藏
页码:457 / 476
页数:20
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