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Testing for a break in persistence under long-range dependencies and mean shifts

Autor: Philipp Sibbertsen and Juliane Willert
Nummer: 422, Jul 2009, pp. 13
JEL-Class: C12, C22

Abstract:
We show that the CUSUM-squared based test for a change in persistence by Leybourne et al. (2007) is not robust against shifts in the mean. A mean shift leads to serious size distortions. Therefore, adjusted critical values are needed when it is known that the data generating process has a mean shift. These are given for the case of one mean break. Response curves for the critical values are derived and a Monte Carlo study showing the size and power properties under this general de-trending is given

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