An omnibus test to detect time-heterogeneity in time series
From MaRDI portal
Publication:2255926
DOI10.1007/s00180-012-0356-7zbMath1305.65040OpenAlexW1539335194MaRDI QIDQ2255926
Dominique Guégan, Philippe De Peretti
Publication date: 18 February 2015
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-012-0356-7
Cites Work
- Unnamed Item
- Unnamed Item
- Structural breaks with deterministic and stochastic trends
- Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
- Likelihood ratio tests for multiple structural changes
- Strong rules for detecting the number of breaks in a time series
- Testing for structural change in conditional models
- On discriminating between long-range dependence and changes in mean
- Statistical tests for a single change in mean against long-range dependence
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective
- Testing for the Constancy of Parameters Over Time
- Stochastic theory of minimal realization
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Estimating and Testing Linear Models with Multiple Structural Changes
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
