WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE

DOI10.1017/S0266466612000357zbMath1282.62199MaRDI QIDQ2847584

Jing Zhou, Pierre Perron, Mohitosh Kejriwal

Publication date: 11 September 2013

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

unit rootsstationary regimessup-Wald test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07)

Related Items (14)

Inference on a structural break in trend with mildly integrated errors ⋮ A joint test for structural stability and a unit root in autoregressions ⋮ Limit theory for moderate deviations from a unit root with a break in variance ⋮ Non identification of structural change in non stationary AR(1) models ⋮ STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS ⋮ A note on change in persistence of U.S. city prices ⋮ Likelihood ratio test for change in persistence ⋮ Changes in persistence, spurious regressions and the Fisher hypothesis ⋮ A note on estimating a structural change in persistence ⋮ Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series ⋮ Estimating multiple breaks in nonstationary autoregressive models ⋮ Estimating multiple breaks in mean sequentially with fractionally integrated errors ⋮ Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data ⋮ A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS

Cites Work

• Tests of stationarity against a change in persistence
• Modified tests for a change in persistence
• Estimating restricted structural change models
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Consistent autoregressive spectral estimates
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• STRUCTURAL CHANGE IN AR(1) MODELS
• A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• RECOGNIZING OVERDIFFERENCED TIME SERIES
• Tests for a change in persistence against the null of difference‐stationarity
• Estimating and Testing Linear Models with Multiple Structural Changes
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Efficient Tests for an Autoregressive Unit Root
• CUSUM of Squares‐Based Tests for a Change in Persistence

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