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On tests for changes in persistence

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  • Leybourne, Stephen
  • Taylor, A. M. Robert

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 84 (2004)
Issue (Month): 1 (July)
Pages: 107-115

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Handle: RePEc:eee:ecolet:v:84:y:2004:i:1:p:107-115

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Web page: http://www.elsevier.com/locate/ecolet

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  1. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
  2. Kim, Jae-Young & Belaire-Franch, Jorge & Amador, Rosa Badillo, 2002. "Corrigendum to "Detection of change in persistence of a linear time series" [J. Econom. 95 (2000) 97-116]," Journal of Econometrics, Elsevier, vol. 109(2), pages 389-392, August.
  3. Busetti, Fabio & Taylor, A. M. Robert, 2004. "Tests of stationarity against a change in persistence," Journal of Econometrics, Elsevier, vol. 123(1), pages 33-66, November.
  4. Kim, Jae-Young, 2000. "Detection of change in persistence of a linear time series," Journal of Econometrics, Elsevier, vol. 95(1), pages 97-116, March.
  5. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  6. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
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Cited by:
  1. Steven Cook, 2004. "Detecting changes in persistence in linear time series," Economics Bulletin, AccessEcon, vol. 3(24), pages 1-11.
  2. Chen, Zhanshou & Tian, Zheng & Wei, Yuesong, 2010. "Monitoring change in persistence in linear time series," Statistics & Probability Letters, Elsevier, vol. 80(19-20), pages 1520-1527, October.
  3. Robert Taylor & Stephen Leybourne, 2004. "Some New Tests for a Change in Persistence," Economics Bulletin, AccessEcon, vol. 3(39), pages 1-10.
  4. repec:ebl:ecbull:v:3:y:2004:i:39:p:1-10 is not listed on IDEAS
  5. Leybourne, Stephen J. & Taylor, A.M. Robert, 2006. "Persistence change tests and shifting stable autoregressions," Economics Letters, Elsevier, vol. 91(1), pages 44-49, April.
  6. Pitarakis, Jean-Yves, 2014. "A joint test for structural stability and a unit root in autoregressions," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 577-587.
  7. Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing for a change in persistence in the presence of non-stationary volatility," Discussion Papers 06/04, University of Nottingham, Granger Centre for Time Series Econometrics.
  8. repec:ebl:ecbull:v:3:y:2004:i:24:p:1-11 is not listed on IDEAS

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