Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5061552 | Economics Letters | 2009 | 5 Pages |
Abstract
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.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Mohitosh Kejriwal,