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Detection of change in persistence of a linear time series

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Author Info
Kim, Jae-Young
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 95 (2000)
Issue (Month): 1 (March)
Pages: 97-116
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Handle: RePEc:eee:econom:v:95:y:2000:i:1:p:97-116

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  1. Sibbertsen, Philipp & Kruse, Robinson, 2007. "Testing for a break in persistence under long-range dependencies," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-381, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
  2. Cerqueti, Roy & Costantini, Mauro & Gutierrez, Luciano, 2007. "Change in persistence tests for panels," Economics & Statistics Discussion Papers esdp07040, University of Molise, Dept. SEGeS. [Downloadable!]
  3. Cerqueti, Roy & Costantini, Mauro & Gutierrez, Luciano, 2008. "Change in persistence tests for panels: An update and some new results," Economics & Statistics Discussion Papers esdp08043, University of Molise, Dept. SEGeS. [Downloadable!]
  4. Robert Taylor & Stephen Leybourne, 2004. "Some New Tests for a Change in Persistence," Economics Bulletin, Economics Bulletin, vol. 3(39), pages 1-10. [Downloadable!]
  5. Cheolbeom Park, 2006. "The Persistence and Predictive Power of the Dividend-Price Ratio," Departmental Working Papers wp0603, National University of Singapore, Department of Economics. [Downloadable!]
  6. Robert Taylor & Stephen Leybourne & David Harvey, 2004. "Modified Tests for a Change in Persistence," Econometric Society 2004 Australasian Meetings 64, Econometric Society. [Downloadable!]
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  7. Fuyu Yang, 2007. "Bayesian Analysis of Deterministic Time Trend and Changes in Persistence Using a Generalised Stochastic Unit Root Model," Discussion Papers in Economics 07/11, Department of Economics, University of Leicester. [Downloadable!]
  8. Steven Cook, 2004. "Detecting changes in persistence in linear time series," Economics Bulletin, Economics Bulletin, vol. 3(24), pages 1-11. [Downloadable!]
  9. Hyginus Leon & Serineh Najarian, 2005. "Asymmetric adjustment and nonlinear dynamics in real exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 15-39. [Downloadable!]
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