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ralph lauren polo

 
Ted Juhl
 
''A nonparametric adjustment for tests of changing mean''
( 2004, Vol. 3 No.34 )
 
 
When testing for a change in mean of a time series, the null hypothesis is no change in mean. However, a change in mean causes a bias in the estimation of serial correlation parameters. This bias can cause nonmonotonic power to the point that if the change is big enough, power can go to zero. In this paper, we show that a nonparametric correction can restore power. The procedure is illustrated with a small Monte Carlo experiment.
 
 
Keywords:
JEL: C2 - Single Equation Models; Single Variables: General
 
Manuscript Received : Aug 24 2004 Manuscript Accepted : Sep 22 2004

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