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ArticleOn tests for changes in persistence

Stephen J. Leybourne2004

Article2004

On tests for changes in persistence

Stephen J. Leybourne · Robert Taylor

26 citations·0/0 files stored·Economics Letters

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

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References

1988Testing for a Unit Root in Time Series Regression 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1991Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?2004Tests of stationarity against a change in persistence 2000Detection of change in persistence of a linear time series 2002Corrigendum to “Detection of change in persistence of a linear time series” [J. Econom. 95 (2000) 97–116]2001WITHDRAWN: Corrigendum to “Detection of change in persistence of a linear time series”: [J. Econom. 95 (2000) 97–116]

Cited by

2005Detection of Structural Change in the Long‐run Persistence in a Univariate Time Series*2022Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19 2010Monitoring change in persistence in linear time series 2005Fluctuation Tests for a Change in Persistence*2006

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2008Testing for a change in persistence in the presence of non-stationary volatilityarticle · 7 shared references 2005Fluctuation Tests for a Change in Persistence*article · 7 shared references 2009Detecting changes from short to long memoryarticle · 6 shared references 2005Modified tests for a change in persistencearticle · 5 shared references 2012Testing for persistence change in fractionally integrated models: An application to world inflation ratesarticle · 5 shared references 2005Detection of Structural Change in the Long‐run Persistence in a Univariate Time Series*article · 5 shared references

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Year2004

Typearticle

Published2004-04-17

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations26

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.econlet.2003.12.015

openalex_workW2018775710

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Persistence change tests and shifting stable autoregressions

2007Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations

2017Changes in persistence, spurious regressions and the Fisher hypothesis