Moving ratio test for multiple changes in persistence

DOI10.1007/s11424-012-9255-9zbMath1255.93131OpenAlexW2010810879MaRDI QIDQ1936583

Zhanshou Chen, Zheng Tian

Publication date: 6 February 2013

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-012-9255-9

zbMATH Keywords

bandwidthmoving ratio testmultiple changes in persistence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Tests of stationarity against a change in persistence
• Modified tests for a change in persistence
• Testing for a change in persistence in the presence of non-stationary volatility
• Monitoring persistence change in infinite variance observations
• Monitoring change in persistence in linear time series
• Likelihood ratio tests for multiple structural changes
• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• Testing for stationarity with a break
• Nonparametric tests for unit roots and cointegration.
• Persistence change tests and shifting stable autoregressions
• Detection of change in persistence of a linear time series
• The size performance of a nonparametric unit root test under a variance shift
• Tests for a change in persistence against the null of difference‐stationarity
• Estimating and Testing Linear Models with Multiple Structural Changes
• Efficient Tests for an Autoregressive Unit Root
• Detecting Multiple Changes in Persistence

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