Deterministic parameter change models in continuous and discrete time

DOI10.1111/JTSA.12456zbMATH Open1444.62100OpenAlexW2913519323WikidataQ128294475 ScholiaQ128294475MaRDI QIDQ5111782FDOQ5111782

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

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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)

Cites Work

• Tests for a change in persistence against the null of difference‐stationarity
• Structural breaks with deterministic and stochastic trends
• 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
• Testing for a unit root in the presence of a possible break in trend
• GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
• TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
• Title not available (Why is that?)
• Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data
• TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
• Detecting Multiple Changes in Persistence
• GLS detrending, efficient unit root tests and structural change.
• TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS
• Tests for an end-of-sample bubble in financial time series

Cited In (4)

• A first order continuous time <scp>VAR</scp> with random coefficients
• A model for variables with suddenly changing parameters
• Modelling change in individual characteristics: An axiomatic framework
• Title not available (Why is that?)

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