Tests for a mean shift with good size and monotonic power

This paper proposes tests for a mean shift based on a new hybrid estimator of the long-run variance. It is shown that these tests can bypass the non-monotonic power problem of the LM tests while maintaining adequate size properties.

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Year of publication:	2009
Authors:	Kejriwal, Mohitosh
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 102.2009, 2, p. 78-82
Publisher:	Elsevier
Keywords:	Long-run variance Wald tests Hybrid estimator Non-monotonic power

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005269981