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ArticleTests for changing mean with monotonic power

Ted Juhl2008

OA

Articlegreen2008

Tests for changing mean with monotonic power

Ted Juhl · Zhijie Xiao

52 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Statistical Methods and Inference Advanced Statistical Methods and Models

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References

1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1992Tests for Parameter Instability in Regressions with 1(1) Processes 1992Tests for Parameter Instability in Regressions with I(1) Processes 2000Testing for structural change in conditional models 1969On Detecting Changes in the Mean of Normal Variates 1978Properties of Sequences of Partial Sums of Polynomial Regression Residuals with Applications to Tests for Change of Regression at Unknown Times 2002CONSISTENT COVARIANCE MATRIX ESTIMATION FOR LINEAR PROCESSES

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2017Change point detection in heteroscedastic time series 2012Powerful tests for structural changes in volatility 2015Testing for structural change under non‐stationary variances 2020Continuous record Laplace-based inference about the break date in structural change models 2022Optimal difference-based variance estimators in time series: A general framework

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Year2008

Typearticle

Published2008-09-03

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations52

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jeconom.2008.08.020

openalex_workW2016174117

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2014

On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests

2011Fixed‐banalysis of LM‐type tests for a shift in mean

2018Gradient-based structural change detection for nonstationary time series M-estimation