Wald tests for detecting multiple structural changes in persistence
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Recommendations
- Detecting Multiple Changes in Persistence
- Testing for multiple structural changes in cointegrated regression models
- Likelihood ratio tests for multiple structural changes
- Testing for a Structural Break at Unknown Date with Long-memory Disturbances
- CUSUM of Squares‐Based Tests for a Change in Persistence
Cites work
- A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- Consistent autoregressive spectral estimates
- CUSUM of Squares‐Based Tests for a Change in Persistence
- Efficient Tests for an Autoregressive Unit Root
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimating restricted structural change models
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Modified tests for a change in persistence
- RECOGNIZING OVERDIFFERENCED TIME SERIES
- Structural change in AR(1) models
- Tests for a change in persistence against the null of difference‐stationarity
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests of stationarity against a change in persistence
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
Cited in
(23)- Likelihood ratio tests for multiple structural changes
- A joint test for structural stability and a unit root in autoregressions
- Persistence change tests and shifting stable autoregressions
- Estimating multiple breaks in mean sequentially with fractionally integrated errors
- Inference on a structural break in trend with mildly integrated errors
- Estimating multiple breaks in nonstationary autoregressive models
- Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
- A note on estimating a structural change in persistence
- Changes in persistence, spurious regressions and the Fisher hypothesis
- A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS
- Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
- ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
- Testing for a Structural Break at Unknown Date with Long-memory Disturbances
- Critical values for multiple structural change tests
- Structural change in nonstationary \(\mathrm{AR}(1)\) models
- Limit theory for moderate deviations from a unit root with a break in variance
- Non identification of structural change in non stationary AR(1) models
- Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
- Detecting Multiple Changes in Persistence
- On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence
- A note on change in persistence of U.S. city prices
- Likelihood ratio test for change in persistence
- An improved procedure for retrospectively dating the emergence and collapse of bubbles
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