Block bootstrap testing for changes in persistence with heavy-tailed innovations

DOI10.1080/03610926.2017.1316398zbMath1390.62171OpenAlexW2605493940MaRDI QIDQ4639103

Ruibing Qin, Yang Liu

Publication date: 2 May 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1316398

zbMATH Keywords

heavy tailedchanges in persistenceblock bootstrap testDickey-Fuller-type ratio statistic

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Wilcoxon rank test for change in persistence

Cites Work

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• Unit root testing via the stationary bootstrap
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• Persistence change tests and shifting stable autoregressions
• Detection of change in persistence of a linear time series
• Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
• Residual-Based Block Bootstrap for Unit Root Testing

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