Likelihood ratio test for change in persistence

DOI10.1080/03610926.2022.2055070MaRDI QIDQ6164680zbMATH OpenOpenAlexFDO

Authors Anton Skrobotov

Publication date 28 July 2023

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2022.2055070

zbMATH Keywords

bootstraplikelihood ratio testunit root testchange in persistencerecoloringlag length selection

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

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Cites work

• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• Asymptotics for linear processes
• Bootstrap Unit-Root Tests: Comparison and Extensions
• Bootstrap tests for an autoregressive unit root in the presence of weakly dependent errors
• CUSUM of Squares‐Based Tests for a Change in Persistence
• Detection of change in persistence of a linear time series
• Heteroskedastic time series with a unit root
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Modified tests for a change in persistence
• Monitoring change in persistence in linear time series
• Nearly efficient likelihood ratio tests of the unit root hypothesis
• On bootstrap implementation of likelihood ratio test for a unit root
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Sieve bootstrap for time series
• Testing for a change in persistence in the presence of non-stationary volatility
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of stationarity against a change in persistence
• Wald tests for detecting multiple structural changes in persistence

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