Testing for a change in persistence in the presence of non-stationary volatility

DOI10.1016/j.jeconom.2008.09.004zbMath1429.62388OpenAlexW2038497895MaRDI QIDQ299259

Giuseppe Cavaliere, A. M. Robert Taylor

Publication date: 22 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.09.004

zbMATH Keywords

wild bootstrappersistence changenon-stationary volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (17)

Detecting at‐Most‐m Changes in Linear Regression Models ⋮ On the Transmission of Memory in Garch‐in‐Mean Models ⋮ Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods ⋮ Monitoring persistent change in a heavy-tailed sequence with polynomial trends ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ 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 ⋮ Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series ⋮ Wilcoxon rank test for change in persistence ⋮ A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models ⋮ Bootstrap testing multiple changes in persistence for a heavy-tailed sequence ⋮ Monitoring change in persistence in linear time series ⋮ Monitoring persistence change in infinite variance observations ⋮ Structural breaks in time series ⋮ Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations ⋮ Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets

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