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ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES

We study test procedures that detect structural breaks in underlying data sequences. In particular, we wish to discriminate between different reasons for these changes, such as (1) shifting means, (2) random walk behavior, and (3) constant means but innovations switching from stationary to difference stationary behavior. Almost all procedures presently available in the literature are simultaneously sensitive to all three types of alternatives.
Year of publication:
2009
Authors: Aue, Alexander ; Horváth, Lajos ; Hušková, Marie ; Ling, Shiqing
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 25.2009, 02, p. 411-441
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10004967765
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