Persistence change tests and shifting stable autoregressions

DOI10.1016/J.ECONLET.2005.10.013zbMath1255.62266OpenAlexW2085506710MaRDI QIDQ1929075

A. M. Robert Taylor, Stephen J. Leybourne

Publication date: 7 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2005.10.013

zbMATH Keywords

shifting autoregressions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (7)

Monitoring persistent change in a heavy-tailed sequence with polynomial trends ⋮ Moving ratio test for multiple changes in persistence ⋮ Abrupt change in mean using block bootstrap and avoiding variance estimation ⋮ Block bootstrap testing for changes in persistence with heavy-tailed innovations ⋮ Bootstrap testing multiple changes in persistence for a heavy-tailed sequence ⋮ Monitoring persistence change in infinite variance observations ⋮ Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations

Cites Work

• Tests of stationarity against a change in persistence
• Modified tests for a change in persistence
• On tests for changes in persistence
• Small sample properties of forecasts from autoregressive models under structural breaks
• Detection of change in persistence of a linear time series
• Trend Function Hypothesis Testing in the Presence of Serial Correlation
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

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