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ArticleMoving ratio test for multiple changes in persistence

Zhanshou Chen2012

Article2012

Moving ratio test for multiple changes in persistence

8 citations·0/0 files stored·Journal of Systems Science and Complexity

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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References

1996Efficient Tests for an Autoregressive Unit Root 1992Efficient Tests for an Autoregressive Unit Root 2005Dealing with Structural Breaks 2002Nonparametric tests for unit roots and cointegration 1997Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate 1999Likelihood ratio tests for multiple structural changes 2004Tests of stationarity against a change in persistence 2000Detection of change in persistence of a linear time series

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2012Bootstrap testing multiple changes in persistence for a heavy-tailed sequencearticle · 11 shared references 2012WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCEarticle · 9 shared references 2005Dealing with Structural Breaksarticle · 8 shared references 2015Is there a structural change in the persistence of WTI–Brent oil price spreads in the post-2010 period?article · 8 shared references 2005Detection of Structural Change in the Long‐run Persistence in a Univariate Time Series*article · 7 shared references 2015Interest rate convergence in the EMS prior to European Monetary Unionarticle · 7 shared references

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Year2012

Typearticle

Published2012-04-10

VenueJournal of Systems Science and Complexity

ISSN-L1009-6124

Languageen

Citations8

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1007/s11424-012-9255-9

openalex_workW2010810879

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