Browsing Τμήμα Οικονομικών / Department of Economics by Subject "Structural break test"
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Article
Restoring monotone power in the CUSUM test
(2008)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 ...