Moving ratio test for multiple changes in persistence

DOI10.1007/s11424-012-9255-9zbMath1255.93131MaRDI QIDQ1936583

Zhanshou Chen, Zheng Tian

Publication date: 6 February 2013

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-012-9255-9

zbMATH Keywords

bandwidth; moving ratio test; multiple changes in persistence

Mathematics Subject Classification ID

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

93E10: Estimation and detection in stochastic control theory

Cites Work

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• Estimating and Testing Linear Models with Multiple Structural Changes
• Efficient Tests for an Autoregressive Unit Root
• Detecting Multiple Changes in Persistence