Wilcoxon rank test for change in persistence

DOI10.1080/02331888.2021.1963964zbMath1477.62227OpenAlexW3197377156MaRDI QIDQ5163042

Ruibing Qin, Xinxin Luo, Wei Yang

Publication date: 8 November 2021

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2021.1963964

zbMATH Keywords

unit rootstationaritychange in persistenceWilcoxon rank test

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)

Cites Work

• Unnamed Item
• Tests of stationarity against a change in persistence
• On tests for changes in persistence
• Testing for a change in persistence in the presence of non-stationary volatility
• Rank tests for short memory stationarity
• Monitoring change in persistence in linear time series
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Rank tests for unit roots
• Detection of change in persistence of a linear time series
• Block bootstrap testing for changes in persistence with heavy-tailed innovations
• Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
• CUSUM of Squares‐Based Tests for a Change in Persistence

This page was built for publication: Wilcoxon rank test for change in persistence