On tests for changes in persistence

DOI10.1016/J.ECONLET.2003.12.015MaRDI QIDQ135925zbMATHOpenAlexFDO

Authors Stephen J. Leybourne, A.M.Robert Taylor, A. M. Robert Taylor, Stephen Leybourne

Publication date July 2004

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2003.12.015

zbMATH Keywords

changes in persistenceratio tests

Mathematics Subject Classification ID

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

Recommendations

• Modified tests for a change in persistence
• Persistence change tests and shifting stable autoregressions
• CUSUM of Squares‐Based Tests for a Change in Persistence
• Testing for a change in persistence in the presence of non-stationary volatility
• Tests for a change in persistence against the null of difference‐stationarity

Cites work

• Detection of change in persistence of a linear time series
• 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 of stationarity against a change in persistence

Cited in

(15)

• Likelihood ratio test for change in persistence
• Detecting Multiple Changes in Persistence
• Block bootstrap testing for changes in persistence with heavy-tailed innovations
• Changes in persistence, spurious regressions and the Fisher hypothesis
• A joint test for structural stability and a unit root in autoregressions
• Wilcoxon rank test for change 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
• Modified tests for a change in persistence
• Monitoring change in persistence in linear time series
• Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
• Subsampling change-point detection in persistence with heavy-tailed innovations
• Variance change-point detection in panel data models
• Testing for a change in persistence in the presence of non-stationary volatility
• Tests for a change in persistence against the null of difference‐stationarity

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