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.
Year of publication: |
2009
|
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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 |
Saved in:
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