Tests for a change in persistence against the null of difference‐stationarity

DOI10.1111/1368-423X.t01-1-00110zbMath1065.91552OpenAlexW1991950581MaRDI QIDQ4458358

Stephen J. Leybourne, Vanessa Smith, Tae-Hwan Kim, Paul Newbold

Publication date: 17 March 2004

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00110

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (22)

Testing for persistence change in fractionally integrated models: an application to world inflation rates ⋮ A joint test for structural stability and a unit root in autoregressions ⋮ Testing for a change in persistence in the presence of non-stationary volatility ⋮ Limit theory for moderate deviations from a unit root with a break in variance ⋮ STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS ⋮ A note on change in persistence of U.S. city prices ⋮ Simple panel unit root tests to detect changes in persistence ⋮ Moving ratio test for multiple changes in persistence ⋮ Deterministic Parameter Change Models in Continuous and Discrete Time ⋮ Structural changes in inflation dynamics: multiple breaks at different dates for different parameters ⋮ Changes in persistence, spurious regressions and the Fisher hypothesis ⋮ Point optimal testing with roots that are functionally local to unity ⋮ Panel stationary tests against changes in persistence ⋮ CUSUM of Squares‐Based Tests for a Change in Persistence ⋮ Tests of stationarity against a change in persistence ⋮ Modified tests for a change in persistence ⋮ Testing for a break in persistence under long-range dependencies ⋮ On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence ⋮ ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES ⋮ Estimating multiple breaks in mean sequentially with fractionally integrated errors ⋮ WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE ⋮ Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations

Cites Work

• Tests of stationarity against a change in persistence
• 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?
• Detection of change in persistence of a linear time series
• Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
• Regression Analysis when the Dependent Variable Is Truncated Normal
• Efficient Tests for an Autoregressive Unit Root

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