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On tests for changes in persistence

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

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File URL: http://www.sciencedirect.com/science/article/B6V84-4C4W5PY-1/2/ed94deb814af6ca4d17402594dc349ae
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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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References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
  2. 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.
  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 & 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.
  5. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  6. 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.
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Citations

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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. 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.
  3. repec:ebl:ecbull:v:3:y:2004:i:39:p:1-10 is not listed on IDEAS
  4. Robert Taylor & Stephen Leybourne, 2004. "Some New Tests for a Change in Persistence," Economics Bulletin, AccessEcon, vol. 3(39), pages 1-10.
  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. 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.
  7. repec:ebl:ecbull:v:3:y:2004:i:24:p:1-11 is not listed on IDEAS

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