Ratio-based estimators for a change point in persistence

DOI10.1016/J.JECONOM.2012.05.024MaRDI QIDQ528070zbMATH OpenOpenAlexWikidataFDO

Authors Andreea G. Halunga, Denise R. Osborn

Publication date 12 May 2017

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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.

Cites work

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

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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