Detecting Multiple Changes in Persistence

DOI10.2202/1558-3708.1370MaRDI QIDQ5452778zbMATH OpenOpenAlexFDO

Authors Stephen Leybourne, Tae-Hwan Kim, A. M. Robert Taylor

Publication date 4 April 2008

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1370

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cited in

(10)

• Moving ratio test for multiple changes in persistence
• Point optimal testing with roots that are functionally local to unity
• A note on estimating a structural change in persistence
• Changes in persistence, spurious regressions and the Fisher hypothesis
• Wald tests for detecting multiple structural changes in persistence
• Deterministic parameter change models in continuous and discrete time
• Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
• A historical perspective on India's inflation persistence: a quantile analysis

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