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Robust discrimination between long-range dependence and a change in mean

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Figure 1: Histogram of ˆ ρ(1) and ˆ ρ Q (1) based on 10,000 replications. X i is generated by an AR(1) process with outliers,  i ∼ N (0, 1), ρ = 0.4 and n = 500.
Table 2: Empirical size of ˜ M C,n and ˆ M n tests at the 5% significance level, 10,000 repli- repli-cations
Table 5: Empirical power of ˜ M C,n and ˆ M n tests at the 5% significance level, 10,000 replications

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