TY  - BOOK
AU  - Aue Alexander
AU  - Horváth,Lajos
AU  - Hušková,Marie
AU  - Ling,Shiqing
TI  - On distinguishing between random walk and change in the mean alternatives
AV  - HB139.T52 ECo 
PY  - 2009///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Mean alternatives
N2  - We study test procedures that detect structural breaks in underlying data sequences. In particular, we wish to discriminate between different reasons for these changes, such as (1) shifting means, (2) random walk behavior, and (3) constant means but innovations switching from stationary to difference stationary behavior. Almost all procedures presently available in the literature are simultaneously sensitive to all three types of alternatives. The test statistics under investigation are based on functionals of the partial sums of observations. These cumulative sum–type (CUSUM-type) statistics have limit distributions if the mean remains constant and the errors satisfy the central limit theorem but tend to infinity in the case when any of the alternatives (1), (2), or (3) holds. On removing the effect of the shifting mean, however, divergence of the test statistics will only occur under the random walk behavior, which in turn enables statisticians not only to detect structural breaks but also to specify their causes
UR  - https://doi.org/10.1017/S0266466608090130
ER  -