Ratio-based estimators for a change point in persistence

DOI10.1016/j.jeconom.2012.05.024zbMath1443.62264OpenAlexW2167953009WikidataQ42033973 ScholiaQ42033973MaRDI QIDQ528070

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

zbMATH Keywords

structural breakspersistence changeorder of integration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Inference on a structural break in trend with mildly integrated errors ⋮ Limit theory for moderate deviations from a unit root with a break in variance ⋮ Non identification of structural change in non stationary AR(1) models ⋮ STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS ⋮ Estimating multiple breaks in nonstationary autoregressive models ⋮ Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models ⋮ Asymptotic Inferences for an AR(1) Model with a Change Point and Possibly Infinite Variance

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