A robust test for mean change in dependent observations

Journal of Inequalities and Applications

Table 1 The empirical levels of the robust CUSUM test and the CUSUM test for dependent innovations

	CUSUM			RCUSUM
	T = 300	T = 500	T = 1,000	T = 300	T = 500	T = 1,000
The tests based on the Bartlett kernel function
α = 1.97	0.045	0.026	0.036	0.042	0.046	0.059
α = 1.83	0.028	0.028	0.033	0.037	0.032	0.043
α = 1.41	0.010	0.010	0.025	0.030	0.036	0.044
α = 1.14	0.005	0.010	0.008	0.045	0.049	0.048
The tests based on the quadratic spectral kernel function
α = 1.97	0.471	0.491	0.489	0.068	0.048	0.050
α = 1.83	0.428	0.462	0.478	0.062	0.077	0.063
α = 1.41	0.458	0.449	0.486	0.066	0.072	0.053
α = 1.14	0.474	0.476	0.507	0.083	0.073	0.055