Category

Number of Access this item:1,125（2024-11-09 12:45 Counts）

Identifier to cite or link to this item: https://hdl.handle.net/10086/26936

Link to primary information 

File Format Size Views Description
cover_26936 pdf
070econDP14-16 pdf 251 KB 1,683

Item Information

Output File

Title
Improving the Finite Sample Performance of Tests for a Shift in Mean
Creator
Creator Name
YAMAZAKI, Daisuke YAMAZAKI, Daisuke
山崎, 大輔 山崎, 大輔
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
KUROZUMI, Eiji KUROZUMI, Eiji
黒住, 英司 黒住, 英司
Affiliation
Affiliation Name
Hitotsubashi University
Key Word
structural change
long-run variance
bias correction
JEL
C12
C22
Abstract (distribution restricted)
It is widely known that structural break tests based on the long-run variance estimator, which is estimated under the alternative, suffer from serious size distortion when the errors are serially correlated. In this paper, we propose bias-corrected tests for a shift in mean by correcting the bias of the long-run variance estimator up to O(1/T). Simulation results show that the proposed tests have good size and high power.
Publisher
Graduate School of Economics, Hitotsubashi University
Issued Date
2014-11-10
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Discussion papers ; No. 2014-16
Number of Pages
42
Appears in Collections
Discussion papers / Graduate School of Economics, Hitotsubashi University
URL
https://hdl.handle.net/10086/26936