Detecting changes in persistence in linear time series
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Cited by:
- Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing for a Change in Persistence in the Presence of a Volatility Shift," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 761-781, December.
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JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
Statistics
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