A note on estimating a structural change in persistence

DOI10.1016/J.ECONLET.2012.07.020MaRDI QIDQ2440469zbMATH OpenOpenAlexFDO

Authors Mohitosh Kejriwal, Pierre Perron

Publication date 18 March 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2012.07.020

zbMATH Keywords

autoregressive modelbreak datepersistencestructural changeunit root

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Recommendations

• Ratio-based estimators for a change point in persistence
• Structural change in AR(1) models
• Tests of stationarity against a change in persistence
• Inference on a structural break in trend with fractionally integrated errors
• Detecting Multiple Changes in Persistence

Cites work

• Detecting Multiple Changes in Persistence
• Structural change in AR(1) models
• Tests of stationarity against a change in persistence
• Wald tests for detecting multiple structural changes in persistence

Cited in

(6)

• Estimating break points in a time series regression with structural changes
• Changes in persistence, spurious regressions and the Fisher hypothesis
• Break point estimators for a slope shift: levels versus first differences
• A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend
• Ratio-based estimators for a change point in persistence
• Perpetuities and asymptotic change-point analysis

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