Likelihood ratio test for change in persistence
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Publication:6164680
DOI10.1080/03610926.2022.2055070OpenAlexW2287939134MaRDI QIDQ6164680FDOQ6164680
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
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Cites Work
- Bootstrap Unit-Root Tests: Comparison and Extensions
- Tests of stationarity against a change in persistence
- Modified tests for a change in persistence
- Sieve bootstrap for time series
- Heteroskedastic time series with a unit root
- Asymptotics for linear processes
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Bootstrap tests for an autoregressive unit root in the presence of weakly dependent errors
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Detection of change in persistence of a linear time series
- CUSUM of Squares‐Based Tests for a Change in Persistence
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- Testing for a change in persistence in the presence of non-stationary volatility
- 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
- Wald tests for detecting multiple structural changes in persistence
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