CUSUM of Squares‐Based Tests for a Change in Persistence

DOI10.1111/j.1467-9892.2006.00517.xzbMath1164.62381MaRDI QIDQ5430506

Tae-Hwan Kim, Stephen J. Leybourne, Robert Lee Taylor

Publication date: 16 December 2007

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00517.x

zbMATH Keywords

sequential sample variance

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

65C05: Monte Carlo methods

62M07: Non-Markovian processes: hypothesis testing

Related Items

DETECTION OF NONCONSTANT LONG MEMORY PARAMETER, Wilcoxon rank test for change in persistence, Semiparametric Detection of Changes in Long Range Dependence, Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations, Testing for a rational bubble under long memory, Likelihood ratio test for change in persistence, Testing for a break in persistence under long-range dependencies, Monitoring persistent change in a heavy-tailed sequence with polynomial trends, Testing for a break in persistence under long-range dependencies and mean shifts, Ratio-based estimators for a change point in persistence, Detecting changes from short to long memory, Bootstrap testing multiple changes in persistence for a heavy-tailed sequence, Monitoring persistence change in infinite variance observations, Testing for persistence change in fractionally integrated models: an application to world inflation rates, Sieve bootstrap monitoring for change from short to long memory, Distinguishing between breaks in the mean and breaks in persistence under long memory, Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany, Changes in persistence, spurious regressions and the Fisher hypothesis, WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE, Detection of Stationary Errors in Multiple Regressions with Integrated Regressors and Cointegration, SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS

Cites Work

• Tests of stationarity against a change in persistence
• Detection of change in persistence of a linear time series
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Testing the Constancy of Regression Relationships Over Time Using Least Squares Residuals
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Tests for a change in persistence against the null of difference‐stationarity
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Regression Analysis when the Dependent Variable Is Truncated Normal