A note on estimating a structural change in persistence

DOI10.1016/J.ECONLET.2012.07.020zbMath1283.62185OpenAlexW2088473513MaRDI QIDQ2440469

Mohitosh Kejriwal, Pierre Perron

Publication date: 18 March 2014

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2012.07.020

zbMATH Keywords

persistenceunit rootautoregressive modelstructural changebreak date

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Economic time series analysis (91B84)

Related Items (1)

Changes in persistence, spurious regressions and the Fisher hypothesis

Cites Work

• Tests of stationarity against a change in persistence
• STRUCTURAL CHANGE IN AR(1) MODELS
• WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE
• Detecting Multiple Changes in Persistence

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