On tests for changes in persistence
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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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