A note on estimating a structural change in persistence
From MaRDI portal
Publication:2440469
DOI10.1016/j.econlet.2012.07.020zbMath1283.62185MaRDI QIDQ2440469
Pierre Perron, Mohitosh Kejriwal
Publication date: 18 March 2014
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2012.07.020
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F10: Point estimation
91B84: Economic time series analysis
Cites Work