Likelihood ratio test for change in persistence

DOI10.1080/03610926.2022.2055070OpenAlexW2287939134MaRDI QIDQ6164680

Anton Skrobotov

Publication date: 28 July 2023

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

Full work available at URL: https://doi.org/10.1080/03610926.2022.2055070

zbMATH Keywords

bootstraplikelihood ratio testunit root testchange in persistencerecoloringlag length selection

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Bootstrap Unit-Root Tests: Comparison and Extensions
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• Detection of change in persistence of a linear time series
• Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors
• WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE
• Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
• CUSUM of Squares‐Based Tests for a Change in Persistence