Deterministic parameter change models in continuous and discrete time

DOI10.1111/JTSA.12456MaRDI QIDQ5111782zbMATHOpenAlexWikidataFDO

Authors Marcus J. Chambers, A. M. Robert Taylor

Publication date 27 May 2020

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://repository.essex.ac.uk/24071/1/CT_Squared_onetimeonly_rev1.pdf

zbMATH Keywords

autoregressionpersistence changeunit roottrend breakcontinuous and discrete timeparameter changeexplosive bubbles

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 3949563 (Why is no real title available?)
• Detecting Multiple Changes in Persistence
• GLS detrending, efficient unit root tests and structural change.
• GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
• Structural breaks with deterministic and stochastic trends
• TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
• Testing for a shift in trend at an unknown date: a fixed-\(b\) analysis of heteroskedasticity autocorrelation robust OLS-based tests
• Testing for a unit root in a near-integrated model with skip-sampled data
• Testing for a unit root in the presence of a possible break in trend
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• Tests for a change in persistence against the null of difference‐stationarity
• Tests for an end-of-sample bubble in financial time series
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses

Cited in

(4)

• A first order continuous time <scp>VAR</scp> with random coefficients
• Modelling change in individual characteristics: An axiomatic framework
• A model for variables with suddenly changing parameters
• scientific article; zbMATH DE number 5361941 (Why is no real title available?)

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