Modified tests for a change in persistence

DOI10.1016/j.jeconom.2005.07.002zbMath1418.62328OpenAlexW1984394816MaRDI QIDQ135912

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

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

Related Items (23)

Inference on a structural break in trend with mildly integrated errors ⋮ Detecting at‐Most‐m Changes in Linear Regression Models ⋮ Testing for persistence change in fractionally integrated models: an application to world inflation rates ⋮ Limit theory for moderate deviations from a unit root with a break in variance ⋮ Non identification of structural change in non stationary AR(1) models ⋮ Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes ⋮ Persistence change tests and shifting stable autoregressions ⋮ STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS ⋮ Moving ratio test for multiple changes in persistence ⋮ Likelihood ratio test for change in persistence ⋮ Testing Stability in Functional Event Observations with an Application to IPO Performance ⋮ Changes in persistence, spurious regressions and the Fisher hypothesis ⋮ The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests ⋮ Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series ⋮ Detecting changes from short to long memory ⋮ Estimating multiple breaks in nonstationary autoregressive models ⋮ Bootstrap testing multiple changes in persistence for a heavy-tailed sequence ⋮ Panel stationary tests against changes in persistence ⋮ memochange ⋮ Estimating multiple breaks in mean sequentially with fractionally integrated errors ⋮ Semiparametric Detection of Changes in Long Range Dependence ⋮ WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE ⋮ Quantile regression estimates and the analysis of structural breaks

Cites Work

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

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