Detecting Multiple Changes in Persistence

DOI10.2202/1558-3708.1370zbMath1268.91149OpenAlexW2005023641MaRDI QIDQ5452778

Stephen J. Leybourne, Tae-Hwan Kim, A. M. Robert Taylor

Publication date: 4 April 2008

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1370

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (8)

Moving ratio test for multiple changes in persistence ⋮ Deterministic Parameter Change Models in Continuous and Discrete Time ⋮ 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 ⋮ Point optimal testing with roots that are functionally local to unity ⋮ Bootstrap testing multiple changes in persistence for a heavy-tailed sequence ⋮ TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500

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