Ratio-based estimators for a change point in persistence

DOI10.1016/J.JECONOM.2012.05.024zbMATH Open1443.62264OpenAlexW2167953009WikidataQ42033973 ScholiaQ42033973MaRDI QIDQ528070FDOQ528070

Authors: Andreea G. Halunga, Denise R. Osborn 

Publication date: 12 May 2017

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001716

Recommendations

• A note on estimating a structural change in persistence
• CUSUM of Squares‐Based Tests for a Change in Persistence
• Tests of stationarity against a change in persistence
• Moving ratio test for multiple changes in persistence
• Change point estimation in regressions with \(I(d)\) variables.

zbMATH Keywords

structural breakspersistence changeorder of integration

Mathematics Subject Classification ID

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
• Detection of change in persistence of a linear time series
• Testing for a unit root in time series regression
• Time Series Regression with a Unit Root
• CUSUM of Squares‐Based Tests for a Change in Persistence

Cited In (10)

• A note on estimating a structural change in persistence
• Limit theory for moderate deviations from a unit root with a break in variance
• Change-point estimation of nonstationary \(I(d)\) processes
• Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models
• Non identification of structural change in non stationary AR(1) models
• Structural change in nonstationary \(\mathrm{AR}(1)\) models
• Perpetuities and asymptotic change-point analysis
• Inference on a structural break in trend with mildly integrated errors
• Asymptotic inferences for an AR(1) model with a change point and possibly infinite variance
• Estimating multiple breaks in nonstationary autoregressive models

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