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Activity Number:
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425
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Type:
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Contributed
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Date/Time:
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Wednesday, August 9, 2006 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economics Statistics Section
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| Abstract - #307390 |
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Title:
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Tests for Changing Mean with Monotonic Power
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Author(s):
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Ted Juhl*+
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Companies:
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The University of Kansas
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Address:
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213 Summerfield Hall, Lawrence, KS, 66049,
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Keywords:
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time series ; structural change ; nonparametric
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Abstract:
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Several widely used tests for a changing mean exhibit nonmonotonic power due to incorrect estimation of nuisance parameters under the alternative. In this note, we propose modified tests that have monotonic power against a wide range of alternatives of structural change. Instead of estimating the nuisance parameters based on ordinary demeaned data, the proposed tests use modified estimators based on nonparametric regression residuals. Asymptotic analysis for the proposed procedure is provided. It is shown that the estimator is consistent in the presence of structural breaks, as well as the case of constant mean. Tests for structural breaks based on such an estimator are able to avoid nonmonotonic power while still retaining the same asymptotic distribution under the null hypothesis of constant parameters.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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