Localized level crossing random walk test robust to the presence of structural breaks

DOI10.1016/j.csda.2010.06.026zbMath1254.60046MaRDI QIDQ1927116

Alex Maynard, Vitali Alexeev

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://www.uoguelph.ca/economics/repec/workingpapers/2010/2010-01.pdf

zbMATH Keywords

robustness; unit root; random walk; level crossing; structural breaks

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G09: Nonparametric statistical resampling methods

60G50: Sums of independent random variables; random walks

62M07: Non-Markovian processes: hypothesis testing

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