Restoring monotone power in the CUSUM test
Date
2008Author
Andreou, ElenaSource
Economics LettersVolume
98Pages
48-58Google Scholar check
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This paper shows that a near-stationarity boundary condition for heteroskedastic and autocorrelation consistent estimators can solve the problem of non-monotone power of the CUSUM test for a single break in the mean of a weakly dependent process. © 2007 Elsevier B.V. All rights reserved.