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Testing for a change in mean under fractional integration

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Figure

Table 1: Asymptotic critical values of the S Wδ test with Λ = 0.15, 0.85½�.
Figure 1: (a) Power of the texts for(e) Power of the texts forτ δ = –0.4, τ0 = 0.5; (b) Power of the texts for δ = –0.2,0 = 0.5; (c) Power of the texts for δ = 0, τ0 = 0.5; (d) Power of the texts for δ = 0.2, τ0 = 0.5; δ = 0.4, τ0 = 0.5.

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