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Detecting Multiple Changes in Persistence

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References

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1996An Analysis of the Real Interest Rate Under Regime Shifts779 cited
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2004Small sample properties of forecasts from autoregressive models under structural breaks394 cited
2004Tests of stationarity against a change in persistence248 cited

Cited by

2017FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION161 cited
2018Are unemployment rates in OECD countries stationary? Evidence from univariate and panel unit root tests71 cited
2012WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE52 cited
2012On the dynamics of inflation persistence around the world31 cited
2009The dynamics of persistence in US inflation25 cited
2012Bootstrap testing multiple changes in persistence for a heavy-tailed sequence25 cited
2010CLIOMETRICS AND TIME SERIES ECONOMETRICS: SOME THEORY AND APPLICATIONS

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24 cited

2014On real interest rate persistence: the role of breaks18 cited

2016Change Detection and the Causal Impact of the Yield Curve12 cited

2015Sieve bootstrap monitoring persistence change in long memory process10 cited