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Localized level crossing random walk test robust to the presence of structural breaks

Citation

Alexeev, V and Maynard, A, Localized level crossing random walk test robust to the presence of structural breaks, Computational Statistics and Data Analysis, 56, (11) pp. 3322-3344. ISSN 0167-9473 (2012) [Refereed Article]

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DOI: doi:10.1016/j.csda.2010.06.026

Abstract

A modified version of the nonparametric level crossing random walk test is proposed, in which the crossing level is determined locally. This modification results in a test that is robust to unknown multiple structural breaks in the level and slope of the trend function under both the null and alternative hypotheses. No knowledge regarding the number or timing of the breaks is required. An algorithm is proposed to select the degree of localization in order to maximize bootstrapped power in a proximate model. A computational procedure is then developed to adjust the critical values for the effect of this selection procedure by replicating it under the null hypothesis. The test is applied to Canadian nominal inflation and nominal interest rate series with implications for the Fisher hypothesis.

Item Details

Item Type:Refereed Article
Research Division:Economics
Research Group:Econometrics
Research Field:Time-Series Analysis
Objective Division:Economic Framework
Objective Group:Other Economic Framework
Objective Field:Economic Framework not elsewhere classified
Author:Alexeev, V (Dr Vitali Alexeev)
ID Code:68282
Year Published:2012
Web of Science® Times Cited:1
Deposited By:Economics and Finance
Deposited On:2011-03-10
Last Modified:2015-02-11
Downloads:0

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