Likelihood ratio test for change in persistence
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Recommendations
- Likelihood ratio tests for a changepoint with survival data
- On tests for changes in persistence
- Modified tests for a change in persistence
- Log-likelihood ratio test for detecting transient change
- Empirical likelihood ratio test for the change-point problem
- Likelihood ratio tests for multiple structural changes
- A likelihood ratio test for a shift in the lifelength distribution
Cites work
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- Asymptotics for linear processes
- Bootstrap tests for an autoregressive unit root in the presence of weakly dependent errors
- Bootstrap Unit-Root Tests: Comparison and Extensions
- CUSUM of Squares‐Based Tests for a Change in Persistence
- Detection of change in persistence of a linear time series
- Heteroskedastic time series with a unit root
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Modified tests for a change in persistence
- Monitoring change in persistence in linear time series
- Nearly efficient likelihood ratio tests of the unit root hypothesis
- On bootstrap implementation of likelihood ratio test for a unit root
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Sieve bootstrap for time series
- Testing for a change in persistence in the presence of non-stationary volatility
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests of stationarity against a change in persistence
- Wald tests for detecting multiple structural changes in persistence
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