Juhl, Ted; Xiao, Zhijie - In: Journal of Econometrics 148 (2009) 1, pp. 14-24
Several widely used tests for a changing mean exhibit nonmonotonic power in finite samples, due to "incorrect"Â estimation of nuisance parameters under the alternative. In this paper, we study the issue of nonmonotonic power in testing for changing mean. We investigate the asymptotic power...