Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes

DOI10.1080/07474938.2011.607085zbMath1491.62217OpenAlexW2043281684MaRDI QIDQ5080136

Rickard Sandberg, Changli He

Publication date: 31 May 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2011.607085

zbMATH Keywords

Brownian motionunit rootstrong mixingstructural breaksmultiple regimesunemployment ratesparameter constancyLSTAR

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) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07)

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