Localized level crossing random walk test robust to the presence of structural breaks

DOI10.1016/j.csda.2010.06.026zbMath1254.60046OpenAlexW2087855743MaRDI QIDQ1927116

Alex Maynard, Vitali Alexeev

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://www.uoguelph.ca/economics/repec/workingpapers/2010/2010-01.pdf

zbMATH Keywords

robustnessunit rootrandom walklevel crossingstructural breaks

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09) Sums of independent random variables; random walks (60G50) Non-Markovian processes: hypothesis testing (62M07)

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