On tests for changes in persistence

DOI10.1016/j.econlet.2003.12.015zbMath1254.91676OpenAlexW2018775710MaRDI QIDQ135925

A.M.Robert Taylor, Stephen J. Leybourne, A. M. Robert Taylor, Stephen J. Leybourne

Publication date: July 2004

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2003.12.015

zbMATH Keywords

changes in persistenceratio tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items

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 ⋮ Subsampling change-point detection in persistence with heavy-tailed innovations ⋮ Persistence change tests and shifting stable autoregressions ⋮ Changes in persistence, spurious regressions and the Fisher hypothesis ⋮ Block bootstrap testing for changes in persistence with heavy-tailed innovations ⋮ Variance change-point detection in panel data models ⋮ Wilcoxon rank test for change in persistence ⋮ Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations ⋮ Monitoring change in persistence in linear time series ⋮ memochange

Cites Work

• Tests of stationarity against a change in persistence
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Detection of change in persistence of a linear time series
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Testing for a unit root in time series regression
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative