Testing for a change in persistence in the presence of non-stationary volatility
DOI10.1016/J.JECONOM.2008.09.004zbMATH Open1429.62388OpenAlexW2038497895MaRDI QIDQ299259FDOQ299259
A. M. Robert Taylor, Giuseppe Cavaliere
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.09.004
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- Tests of stationarity against a change in persistence
- On tests for changes in persistence
- Title not available (Why is that?)
- HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
- Asymptotics for linear processes
- Testing for structural change in conditional models
- Bootstrap and wild bootstrap for high dimensional linear models
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- The wild bootstrap, tamed at last
- Bootstrapping general empirical measures
- Detection of change in persistence of a linear time series
- ARCH models as diffusion approximations
- Testing for a unit root in time series regression
- Tests for a change in persistence against the null of difference‐stationarity
- Time Series Regression with a Unit Root
- 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?
- Unit Root Tests under Time-Varying Variances
- Testing for unit roots in time series models with non-stationary volatility
- Nonstationary nonlinear heteroskedasticity.
- Regression with Nonstationary Volatility
- Unit root tests with a break in innovation variance.
- Testing stationarity under a permanent variance shift
- Testing for parameter constancy in GARCH\((p,q)\) models
- STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
- A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
Cited In (20)
- On the Transmission of Memory in Garch‐in‐Mean Models
- Monitoring persistent change in a heavy-tailed sequence with polynomial trends
- Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
- Detecting at‐Most‐m Changes in Linear Regression Models
- Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
- Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
- Monitoring persistence change in infinite variance observations
- Monitoring change in persistence in linear time series
- Likelihood ratio test for change in persistence
- Structural breaks in time series
- Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
- Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations
- Wilcoxon rank test for change in persistence
- Testing Stability in Functional Event Observations with an Application to IPO Performance
- A data-driven approach to detecting change points in linear regression models
- Moving ratio test for multiple changes in persistence
- ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY
- Tests for a change in persistence against the null of difference‐stationarity
- Testing for changing volatility
- A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models
This page was built for publication: Testing for a change in persistence in the presence of non-stationary volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q299259)
