On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence

DOI10.1111/j.1467-9892.2005.00442.xzbMath1091.62089OpenAlexW3124034059MaRDI QIDQ5467626

A. M. Robert Taylor

Publication date: 24 May 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00442.x

zbMATH Keywords

recursive testchanges in persistenceaugmented Dickey-Fuller statisticsrolling test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)

Related Items

Simple panel unit root tests to detect changes in persistence

Cites Work

• Tests of stationarity against a change in persistence
• Detection of change in persistence of a linear time series
• Tests for a change in persistence against the null of difference‐stationarity