Modified tests for a change in persistence

DOI10.1016/J.JECONOM.2005.07.002MaRDI QIDQ135912zbMATHOpenAlexFDO

Authors David I. Harvey, Stephen Leybourne, A. M. Robert Taylor

Publication date October 2006

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://repec.org/esAUSM04/up.29774.1076503390.pdf

zbMATH Keywords

persistence changeratio-based testsvariable addition tests

Mathematics Subject Classification ID

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

Recommendations

• CUSUM of Squares‐Based Tests for a Change in Persistence
• Tests for a change in persistence against the null of difference‐stationarity
• On tests for changes in persistence
• Tests of stationarity against a change in persistence
• Wilcoxon rank test for change in persistence

Cites work

• Detection of change in persistence of a linear time series
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Testing for a unit root in time series regression
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests for a change in persistence against the null of difference‐stationarity
• Tests of stationarity against a change in persistence
• Trend Function Hypothesis Testing in the Presence of Serial Correlation

Cited in

(28)

• Likelihood ratio test for change in persistence
• Limit theory for moderate deviations from a unit root with a break in variance
• Detecting at-most-\(\mathfrak{m}\) changes in linear regression models
• Changes in persistence, spurious regressions and the Fisher hypothesis
• Inference on a structural break in trend with mildly integrated errors
• Estimating multiple breaks in nonstationary autoregressive models
• Quantile regression estimates and the analysis of structural breaks
• Wilcoxon rank test for change in persistence
• Panel stationary tests against changes in persistence
• The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests
• Persistence change tests and shifting stable autoregressions
• Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes
• On tests for changes in persistence
• Tests of stationarity against a change in persistence
• Detecting changes from short to long memory
• Non identification of structural change in non stationary AR(1) models
• On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence
• Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
• Wald tests for detecting multiple structural changes in persistence
• Estimating multiple breaks in mean sequentially with fractionally integrated errors
• CUSUM of Squares‐Based Tests for a Change in Persistence
• Moving ratio test for multiple changes in persistence
• Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
• Testing for a change in persistence in the presence of non-stationary volatility
• Semiparametric detection of changes in long range dependence
• Testing for persistence change in fractionally integrated models: an application to world inflation rates
• Testing Stability in Functional Event Observations with an Application to IPO Performance
• Structural change in nonstationary \(\mathrm{AR}(1)\) models

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