Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series

Sources of nonmonotonic power are uncovered for a wide variety of tests for a shift in the mean of a dynamic time series. Two main sources of nonmonotonic power are found. The first source is the behavior of the estimate of error variance under the alternative hypothesis of a shift in mean. In particular if the error variance is estimated under the null hypothesis, nonmonotonic power can result. The second source is the presence of a lagged dependent variable in the estimated regression.

• Publication year

  1999

• Venue

  Journal of Econometrics

• Publication date

  1999-02-01

• Fields of study

  Mathematics, Economics

• Identifiers
  DOI 10.1016/S0304-4076(98)00034-7
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Trend Function Hypothesis Testing in the Presence of Serial Correlation

  1998cited by this paper
• Testing for a Shift in Mean Without Having to Estimate Serial-Correlation Parameters

  1998cited by this paper
• Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series

  1997cited by this paper
• Mosum Tests for Parameter Constancy

  1995influential reference
• Least squares estimation of a shift in linear processes

  1994cited by this paper
• Tests for Parameter Instability and Structural Change with Unknown Change Point

  1993cited by this paper
• A Direct Test for Changing Trend

  1992cited by this paper
• The CUSUM test for OLS residuals

  1992influential reference
• Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative

  1992cited by this paper
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

  1991cited by this paper
• A Test for Changes in a Polynomial Trend Functions for a Dynamioc Time Series

  1991influential reference
• Testing For A Unit Root In A Time Series With A Changing Mean

  1990cited by this paper
• The Danger of Extrapolating Asymptotic Local Power

  1990cited by this paper
• A modification of the CUSUM test in the linear regression model with lagged dependent variables

  1989cited by this paper
• Testing for structural change in dynamic models

  1988cited by this paper
• Properties of Sequences of Partial Sums of Polynomial Regression Residuals with Applications to Tests for Change of Regression at Unknown Times

  1978cited by this paper
• Wald's Test as Applied to Hypotheses in Logit Analysis

  1977cited by this paper
• Techniques for Testing the Constancy of Regression Relationships Over Time

  1975cited by this paper
• On Detecting Changes in the Mean of Normal Variates

  1969cited by this paper

• Inference for trend functions in partially linear models

  2025cites this paper
• Multiple change-points detection based on U-Statistics under weak dependence

  2025cites this paper
• Heckman sample-selection estimators under heteroskedasticity

  2025cites this paper
• Robust Fixed-<mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si1.svg"><mml:mi>b</mml:mi></mml:math> Inference in the Presence of Time-Varying Volatility

  2023cites this paper
• A statistical framework for analyzing shape in a time series of random geometric objects

  2023cites this paper
• Detecting weak changes in the mean of a class of nonlinear heteroscedastic models

  2023cites this paper
• Loss function-based change point detection in risk measures

  2023cites this paper
• A Cramér–von Mises test for a class of mean time dependent CHARN models with application to change-point detection

  2023cites this paper
• A new test for common breaks in heterogeneous panel data models

  2023cites this paper
• Testing for time-varying factor loadings in high-dimensional factor models

  2022cites this paper
• A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK

  2022cites this paper
• Subsample scan test for multiple breaks based on self-normalization

  2022cites this paper
• A General Framework for Constructing Locally Self-Normalized Multiple-Change-Point Tests

  2022cites this paper
• THEORY OF LOW FREQUENCY CONTAMINATION FROM NONSTATIONARITY AND MISSPECIFICATION: CONSEQUENCES FOR HAR INFERENCE

  2021cites this paper
• On detecting weak changes in the mean of CHARN models

  2021cites this paper
• Prewhitened long-run variance estimation robust to nonstationarity

  2021cites this paper
• Location-Adaptive Change-Point Testing for Time Series

  2021cites this paper
• Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods

  2021cites this paper
• A general panel break test based on the self-normalization method

  2021cites this paper
• Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models

  2021cites this paper
• Minimax MSE Bounds and Nonlinear VAR Prewhitening for Long-Run Variance Estimation Under NonstationarityWe thank Whitney Newey and Tim Vogelsang for helpful discussions. We also thank Federico Belotti, Leopoldo Catania and Stefano Grassi for generous help with computer programming.

  2021cites this paper
• Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings

  2021cites this paper
• A self-normalization test for correlation change

  2020cites this paper
• Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable

  2020cites this paper
• Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation

  2020cites this paper
• A Data-driven Change-point Estimator

  2020cites this paper
• Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification

  2020cites this paper
• Robust multivariate change point analysis based on data depth

  2020cites this paper
• Essays on testing for nonlinearity in time series : issues in nonlinear cointegration, structural breaks and changes in persistence

  2020cites this paper
• Convergence of U-processes in Hölder spaces with application to robust detection of a changed segment

  2019cites this paper
• Testing for Changes in Forecasting Performance

  2019cites this paper
• Testing for shifts in mean with monotonic power against multiple structural changes

  2019cites this paper
• Robust change point tests by bounded transformations

  2019cites this paper
• Testing for structural changes in linear regressions with time-varying variance

  2019cites this paper
• Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models

  2019cites this paper
• A New Class of Change Point Test Statistics of Rényi Type

  2019influential citation
• Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending

  2019cites this paper
• Unsupervised Self-Normalized Change-Point Testing for Time Series

  2018cites this paper
• Change-Point Testing for Risk Measures in Time Series

  2018cites this paper
• GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS

  2018cites this paper
• Power properties of the modified CUSUM tests

  2018cites this paper
• Continuous Record Laplace-based Inference about the Break Date in Structural Change Models

  2018cites this paper
• Structural Breaks in Time Series

  2018influential citation
• Change-Point Testing and Estimation for Risk Measures in Time Series

  2018cites this paper
• Continuous record asymptotics for structural change models

  2018cites this paper
• A Time Series Analysis of Structural Break Time in Ethiopian GDP, Export and Import

  2018cites this paper
• Confidence Sets for the Break Date in Cointegrating Regressions

  2018cites this paper
• Structural Break Tests Robust to Regression Misspecification

  2018cites this paper
• A structural break test for extremal dependence in &bgr;‐mixing random vectors

  2018cites this paper
• A Powerful Test for Changing Trends in Time Series Models

  2018cites this paper
• Robust change-point detection and dependence modeling

  2017cites this paper
• Structural break tests for extremal dependence in β-mixing random vectors

  2017cites this paper
• Asymptotic Procedures for a Change-Point Analysis of Random Field

  2016cites this paper
• Tilburg University Structural Break Tests Robust to Regression Misspecification

  2016influential citation
• Essays on Structural Breaks in Time Series and Panel Data Models

  2016cites this paper
• Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets

  2016cites this paper
• On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests

  2016cites this paper
• Title Time Instability of the U . S . Monetary System : Multiple Break Tests and Reduced Rank TVP VAR

  2016cites this paper
• Can structural change explain the Meese-Rogoff puzzle?

  2016cites this paper
• A test for changing trends with monotonic power

  2016cites this paper
• An application to the stock market

  2016influential citation
• CHANGE POINT TESTS FOR THE TAIL INDEX OF β-MIXING RANDOM VARIABLES

  2016cites this paper
• Robust change-point detection in panel data

  2016influential citation
• Asymptotics for the Sequential Empirical Process and Testing for Distributional Change for Stationary Linear Models

  2015influential citation
• Testing for parameter constancy in the time series direction in panel data models

  2015cites this paper
• Self-Normalization for Time Series: A Review of Recent Developments

  2015cites this paper
• Testing for Structural Change Under Non‐Stationary Variances

  2015cites this paper
• Improving the finite sample performance of tests for a shift in mean

  2015cites this paper
• Testing for Factor Loading Structural Change under Common Breaks

  2015cites this paper
• A comparative Study of Volatility Breaks

  2015cites this paper
• Long-run variance estimation for spatial data under change-point alternatives

  2015cites this paper
• Restoring monotonic power in Wald/LM-type tests

  2015cites this paper
• Statistical inference for dependent data

  2013cites this paper
• Time Instability of the U.S. Monetary System: Multiple Break Tests and Reduced Rank TVP VAR

  2013cites this paper
• Essays In Time Series Analysis In The Frequency Domain

  2013cites this paper
• Powerful Tests for Structural Changes in Volatility

  2013cites this paper
• A general approach to the joint asymptotic analysis of statistics from sub-samples

  2013cites this paper
• Power monotonicity in detecting volatility levels change

  2013cites this paper
• SERIAL CORRELATION ROBUST LM TYPE TESTS FOR A SHIFT IN TREND

  2012cites this paper
• Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression

  2012cites this paper
• Serial Correlation Robust LM

  2012cites this paper
• Segmenting mean-nonstationary time series via trending regressions

  2012cites this paper
• Duration Modelling of the After-Hours Electronic Futures Market

  2012cites this paper
• Testing the structural stability of temporally dependent functional observations and application to climate projections

  2011cites this paper
• Modified Testing for Structural Changes in Autoregressive Processes

  2011cites this paper
• Croissance et convergence des pays de la zone CFA : une étude par les données de panel non stationnaires

  2011cites this paper
• Modified tests for variance changes in autoregressive regression

  2011cites this paper
• Fixed‐B Analysis of LM‐Type Tests for a Shift in Mean

  2011influential citation
• Bootstrap Tests for Structural Breaks When the Regressors and Error Term are Nonstationary

  2011influential citation
• The puzzle of long swings in equity markets: Which way forward?

  2011cites this paper
• Score Tests for Hyperbolic GARCH Models

  2011cites this paper
• A time series analysis of structural break time in the macroeconomic variables in Ethiopia

  2011cites this paper
• Testing for Structural Breaks in Dynamic Factor Models

  2011cites this paper
• Testing for Multiple Structural Changes in Cointegrated Regression Models

  2010cites this paper
• Testing for change points in time series 1 June 4 , 2010

  2010cites this paper
• Testing for Change Points in Time Series

  2010cites this paper
• Structural change, econometrics of

  2010cites this paper
• Lower Volatility, Higher Inequality: Are They Related?

  2010cites this paper
• Tests for changing mean with monotonic power

  2009cites this paper
• Tests for a mean shift with good size and monotonic power

  2009cites this paper