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Moving ratio test for multiple changes in persistence
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Moving ratio test for multiple changes in persistence (2012)Moving ratio test for multiple changes in…Monitoring change in persistence in linear time series (2010)Monitoring change in persiste…Testing for a change in persistence in the presence of non-stationary volatility (2008)Testing for a change in persi…Detecting Multiple Changes in Persistence (2007)Detecting Multiple Changes in…Modified tests for a change in persistence (2005)Modified tests for a change i…Dealing with Structural Breaks (2005)Dealing with Structural BreaksTests of stationarity against a change in persistence (2004)Tests of stationarity against…Tests for a change in persistence against the null of difference‐stationarity (2003)Tests for a change in persist…Testing for stationarity with a break (2002)Testing for stationarity with…Nonparametric tests for unit roots and cointegration (2002)Nonparametric tests for unit …Corrigendum to “Detection of change in persistence of a linear time series” [J. Econom. 95 (2000) 97–116] (2002)Corrigendum to “Detection of …WITHDRAWN: Corrigendum to “Detection of change in persistence of a linear time series”: [J. Econom. 95 (2000) 97–116] (2001)WITHDRAWN: Corrigendum to “De…Detection of change in persistence of a linear time series (2000)Detection of change in persis…Likelihood ratio tests for multiple structural changes (1999)Likelihood ratio tests for mu…Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate (1997)Testing the unit root with dr…Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Modelling Nonlinear Economic Time Series (2010)Structural breaks in time series (2012)The impact of economic growth on CO2 emissions in Azerbaijan (2018)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Sample Splitting and Threshold Estimation (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Modelling structural breaks, long memory and stock market volatility: an overview (2004)Time Series Analysis: Forecasting and Control (1977)A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks (2006)Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates (2010)A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks* (2011)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)When does the dividend–price ratio predict stock returns? (2009)Is there a structural change in the persistence of WTI–Brent oil price spreads in the post-2010 period? (2015)Statistical analysis of cointegration vectors (1988)New Simple Tests for Panel Cointegration (2005)Unit Roots and Cointegration in Panels (2008)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing for Panel Cointegration with Multiple Structural Breaks* (2006)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)Unit root tests for panel data (2001)A simple panel unit root test in the presence of cross‐section dependence (2007)Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun (2015)Asset Price Bubbles and Systemic Risk (2020)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)
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References

  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,279 cited
  • 2005Dealing with Structural Breaks701 cited
  • 2002Nonparametric tests for unit roots and cointegration454 cited
  • 1997Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate340 cited
  • 1999Likelihood ratio tests for multiple structural changes249 cited
  • 2004Tests of stationarity against a change in persistence248 cited
  • 2000Detection of change in persistence of a linear time series225 cited
  • 2002Testing for stationarity with a break167 cited
  • 2005Modified tests for a change in persistence91 cited
  • 2007Detecting Multiple Changes in Persistence87 cited
  • 2003Tests for a change in persistence against the null of difference‐stationarity81 cited
  • 2002Corrigendum to “Detection of change in persistence of a linear time series” [J. Econom. 95 (2000) 97–116]65 cited
  • 2001WITHDRAWN: Corrigendum to “Detection of change in persistence of a linear time series”: [J. Econom. 95 (2000) 97–116]52 cited
  • 2008Testing for a change in persistence in the presence of non-stationary volatility

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42 cited
  • 2010Monitoring change in persistence in linear time series18 cited
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