Tests of stationarity against a change in persistence

DOI10.1016/j.jeconom.2003.10.028zbMath1328.62507OpenAlexW2118371391MaRDI QIDQ135904

Fabio Busetti, A.M.Robert Taylor, A. M. Robert Taylor, Fabio Busetti

Publication date: November 2004

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.10.028

zbMATH Keywords

LBI testspersistence changestrend breaksunknown direction of change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (44)

Detecting at‐Most‐m Changes in Linear Regression Models ⋮ Testing for persistence change in fractionally integrated models: an application to world inflation rates ⋮ A joint test for structural stability and a unit root in autoregressions ⋮ Testing for a change in persistence in the presence of non-stationary volatility ⋮ Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes ⋮ Subsampling change-point detection in persistence with heavy-tailed innovations ⋮ Persistence change tests and shifting stable autoregressions ⋮ Monitoring persistent change in a heavy-tailed sequence with polynomial trends ⋮ A note on change in persistence of U.S. city prices ⋮ Tests for a change in persistence against the null of difference‐stationarity ⋮ Moving ratio test for multiple changes in persistence ⋮ Likelihood ratio test for change in persistence ⋮ Testing Stability in Functional Event Observations with an Application to IPO Performance ⋮ Changes in persistence, spurious regressions and the Fisher hypothesis ⋮ A note on estimating a structural change in persistence ⋮ The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests ⋮ Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series ⋮ Detecting changes from short to long memory ⋮ Point optimal testing with roots that are functionally local to unity ⋮ Block bootstrap testing for changes in persistence with heavy-tailed innovations ⋮ Wilcoxon rank test for change in persistence ⋮ Ratio-based estimators for a change point in persistence ⋮ Bootstrap testing multiple changes in persistence for a heavy-tailed sequence ⋮ Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations ⋮ Panel stationary tests against changes in persistence ⋮ CUSUM of Squares‐Based Tests for a Change in Persistence ⋮ Monitoring change in persistence in linear time series ⋮ Extensions of some classical methods in change point analysis ⋮ Tests of stationarity against a change in persistence ⋮ Modified tests for a change in persistence ⋮ On tests for changes in persistence ⋮ Testing for a break in persistence under long-range dependencies ⋮ Sequential monitoring for changes from stationarity to mild non-stationarity ⋮ A PROOF OF THE POWER OF KIM'S TEST AGAINST STATIONARY PROCESSES WITH STRUCTURAL BREAKS ⋮ Monitoring persistence change in infinite variance observations ⋮ On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence ⋮ ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES ⋮ DETECTION OF NONCONSTANT LONG MEMORY PARAMETER ⋮ memochange ⋮ Semiparametric Detection of Changes in Long Range Dependence ⋮ WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE ⋮ Quantile regression estimates and the analysis of structural breaks ⋮ Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations ⋮ TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500

Uses Software

• Ox

Cites Work

• Unnamed Item
• Tests of stationarity against a change in persistence
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