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

DOI10.1111/1368-423X.T01-1-00110zbMATH Open1065.91552OpenAlexW1991950581MaRDI QIDQ4458358FDOQ4458358

Authors: Stephen Leybourne, Tae-Hwan Kim, Vanessa Smith, Paul Newbold 

Publication date: 17 March 2004

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

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

Recommendations

• Tests of stationarity against a change in persistence
• Persistence change tests and shifting stable autoregressions
• Monitoring change in persistence against the null of difference-stationarity in infinite variance observations
• On tests for changes in persistence
• Testing for a change in persistence in the presence of non-stationary volatility
• Panel stationary tests against changes in persistence
• TESTING FOR TREND STATIONARITY VERSUS DIFFERENCE STATIONARITY
• Some results on testing for stationarity using data detrended in differences

Mathematics Subject Classification ID

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

Cites Work

• Tests of stationarity against a change in persistence
• Regression Analysis when the Dependent Variable Is Truncated Normal
• 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
• 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?
• Efficient Tests for an Autoregressive Unit Root

Cited In (28)

• A SPECTRAL-BASED CUSUM TEST OF EVOLUTIONARY CHANGE
• On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence
• Limit theory for moderate deviations from a unit root with a break in variance
• A joint test for structural stability and a unit root in autoregressions
• Point optimal testing with roots that are functionally local to unity
• A note on change in persistence of U.S. city prices
• Detection of change in persistence of a linear time series
• Testing for a change in persistence in the presence of non-stationary volatility
• Persistence change tests and shifting stable autoregressions
• Wilcoxon rank test for change in persistence
• Structural change in nonstationary \(\mathrm{AR}(1)\) models
• Wald tests for detecting multiple structural changes in persistence
• Deterministic parameter change models in continuous and discrete time
• ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
• Testing time-series stationarity against an alternative whose mean is periodic
• Modified tests for a change in persistence
• On tests for changes in persistence
• Tests of stationarity against a change in persistence
• Testing for a break in persistence under long-range dependencies
• Simple panel unit root tests to detect changes in persistence
• Moving ratio test for multiple changes in persistence
• Testing for persistence change in fractionally integrated models: an application to world inflation rates
• Panel stationary tests against changes in persistence
• Monitoring change in persistence against the null of difference-stationarity in infinite variance observations
• Estimating multiple breaks in mean sequentially with fractionally integrated errors
• Changes in persistence, spurious regressions and the Fisher hypothesis
• Structural changes in inflation dynamics: multiple breaks at different dates for different parameters
• CUSUM of Squares‐Based Tests for a Change in Persistence

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