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Table 2 The empirical levels of the robust CUSUM test and the CUSUM test for dependent innovations

From: A robust test for mean change in dependent observations

 

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

0.028

0.032

0.034

0.034

0.033

0.046

α = 1.83

0.019

0.032

0.023

0.034

0.037

0.037

α = 1.41

0.009

0.013

0.021

0.035

0.038

0.048

α = 1.14

0.004

0.008

0.01

0.038

0.036

0.047

The tests based on the quadratic spectral kernel function

α = 1.97

0.425

0.447

0.470

0.037

0.043

0.040

α = 1.83

0.414

0.444

0.456

0.026

0.043

0.048

α = 1.41

0.484

0.463

0.483

0.040

0.035

0.041

α = 1.14

0.459

0.490

0.454

0.028

0.048

0.042