Testing for a change in persistence in the presence of non-stationary volatility
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Cites work
- scientific article; zbMATH DE number 5071096 (Why is no real title available?)
- A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
- ARCH models as diffusion approximations
- Asymptotics for linear processes
- Bootstrap and wild bootstrap for high dimensional linear models
- Bootstrapping general empirical measures
- Detection of change in persistence of a linear time series
- Heteroskedastic time series with a unit root
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Nonstationary nonlinear heteroskedasticity.
- On tests for changes in persistence
- Regression with Nonstationary Volatility
- STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
- Testing for a unit root in time series regression
- Testing for parameter constancy in GARCH\((p,q)\) models
- Testing for structural change in conditional models
- Testing for unit roots in time series models with non-stationary volatility
- Testing stationarity under a permanent variance shift
- 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?
- Tests for a change in persistence against the null of difference‐stationarity
- Tests of stationarity against a change in persistence
- The wild bootstrap, tamed at last
- Time Series Regression with a Unit Root
- Unit Root Tests under Time-Varying Variances
- Unit root tests with a break in innovation variance.
Cited in
(23)- Likelihood ratio test for change in persistence
- A data-driven approach to detecting change points in linear regression models
- Detecting at-most-\(\mathfrak{m}\) changes in linear regression models
- Wilcoxon rank test for change in persistence
- Monitoring persistent change in a heavy-tailed sequence with polynomial trends
- On the Transmission of Memory in Garch‐in‐Mean Models
- On tests for changes in persistence
- Tests of stationarity against a change in persistence
- Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
- Monitoring change in persistence in linear time series
- Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification
- Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
- Adaptive long memory testing under heteroskedasticity
- A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models
- Moving ratio test for multiple changes in persistence
- Monitoring change in persistence against the null of difference-stationarity in infinite variance observations
- Testing for changing volatility
- Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
- Monitoring persistence change in infinite variance observations
- Structural breaks in time series
- Tests for a change in persistence against the null of difference‐stationarity
- Testing Stability in Functional Event Observations with an Application to IPO Performance
- Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
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