标题:Restoring monotonic power in Wald/LM-type tests
作者:Wu, Jilin
作者机构:Shandong Univ, Ctr Econ Res, Shanda Nanlu 27, Jinan 250100, Peoples R China
来源:Economics letters
出版年:2015
页码:13-17
关键词:Long-run variance;Nonmonotonic power;Wald/LM-type tests
摘要:Wald/LM-type tests for a shift in mean often exhibit nonmonotonic power, due to incorrect estimation of long-run variance. In this paper, we propose a robust estimator of long-run variance that is built on nonparametric regression residuals and always converges to the true long-run variance under both the null and the alternative hypothesis. Monte Carlo experiments show that the modified tests have monotonic power against the mean with single or multiple breaks in finite samples. (C) 2014 Elsevier B.V. All rights reserved.
资源类型:期刊论文
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