Block bootstrap testing for changes in persistence with heavy-tailed innovations

DOI10.1080/03610926.2017.1316398MaRDI QIDQ4639103zbMATH OpenOpenAlexFDO

Authors Ruibing Qin, Yang Liu

Publication date 2 May 2018

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

Full work available at URL https://doi.org/10.1080/03610926.2017.1316398

zbMATH Keywords

block bootstrap testchanges in persistenceDickey-Fuller-type ratio statisticheavy tailed

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
• Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
• Detection of change in persistence of a linear time series
• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• On tests for changes in persistence
• Persistence change tests and shifting stable autoregressions
• Residual-Based Block Bootstrap for Unit Root Testing
• Stable Paretian models in finance
• Subsampling change-point detection in persistence with heavy-tailed innovations
• Subsampling procedures for a heavy-tailed unit root test with structural change
• Tests of stationarity against a change in persistence
• Unit root testing via the stationary bootstrap

Cited in

(8)

• Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification
• Bootstrap testing for persistence changes with heavy-tailed dependent sequences
• Bootstrap test for stationarity of heavy-tailed series with structural breaks
• Wilcoxon rank test for change in persistence
• Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
• Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
• Robust test of persistence change in heavy-tailed time series environment
• Sieve bootstrap test for changes between unit root and long memory process with time trend

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