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Citations for "Detection of change in persistence of a linear time series"

by Kim, Jae-Young

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  1. Halunga, Andreea G. & Osborn, Denise R., 2012. "Ratio-based estimators for a change point in persistence," Journal of Econometrics, Elsevier, vol. 171(1), pages 24-31.
  2. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500," Cowles Foundation Discussion Papers 1914, Cowles Foundation for Research in Economics, Yale University.
  3. 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.
  4. Alicia Puyana & José Romero, 2010. "Informalidad y dualismo en la economía mexicana," Serie documentos de trabajo del Centro de Estudios Económicos 2010-04, El Colegio de México, Centro de Estudios Económicos.
  5. repec:lan:wpaper:52032583 is not listed on IDEAS
  6. Robert Taylor & Stephen Leybourne, 2004. "Some New Tests for a Change in Persistence," Economics Bulletin, AccessEcon, vol. 3(39), pages 1-10.
  7. Juan José Echavarría & Enrique López & Martha Misas, 2011. "La Persistencia Estadística De La Inflación En Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
  8. Leybourne, Stephen & Taylor, A. M. Robert, 2004. "On tests for changes in persistence," Economics Letters, Elsevier, vol. 84(1), pages 107-115, July.
  9. H. L. Leon & Serineh Najarian, 2003. "Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates," IMF Working Papers 03/159, International Monetary Fund.
  10. Uwe Hassler & Jan Scheithauer, 2011. "Detecting changes from short to long memory," Statistical Papers, Springer, vol. 52(4), pages 847-870, November.
  11. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2014. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working Papers 1403, University of Nevada, Las Vegas , Department of Economics.
  12. Robinson Kruse, 2010. "On European monetary integration and the persistence of real effective exchange rates," CREATES Research Papers 2010-26, School of Economics and Management, University of Aarhus.
  13. Philipp Sibbertsen & Juliane Willert, 2012. "Testing for a break in persistence under long-range dependencies and mean shifts," Statistical Papers, Springer, vol. 53(2), pages 357-370, May.
  14. Zsolt Darvas & Balázs Varga, 2013. "Inflation persistence in Central and Eastern European countries," Working Papers 787, Bruegel.
  15. Uwe Hassler & Barbara Meller, 2014. "Detecting multiple breaks in long memory the case of U.S. inflation," Empirical Economics, Springer, vol. 46(2), pages 653-680, March.
  16. Cerqueti, Roy & Costantini, Mauro & Gutierrez, Luciano, 2007. "Change in persistence tests for panels," Economics & Statistics Discussion Papers esdp07040, University of Molise, Dept. EGSeI.
  17. Michael Frömmel & Robinson Kruse, 2009. "Interest rate convergence in the EMS prior to European Monetary Union," CREATES Research Papers 2009-23, School of Economics and Management, University of Aarhus.
  18. Philipp Sibbertsen & Robinson Kruse, 2009. "Testing for a break in persistence under long-range dependencies," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(3), pages 263-285, 05.
  19. Cheolbeom Park, 2006. "The Persistence and Predictive Power of the Dividend-Price Ratio," Departmental Working Papers wp0603, National University of Singapore, Department of Economics.
  20. Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2011. "Testing for Multiple Bubbles," Working Papers CoFie-03-2011, Sim Kee Boon Institute for Financial Economics.
  21. Ahmad, Ahmad H & Pentecost, E J, 2011. "Exchange RateRegime Verification : An Alternative Method of Testing for RegimeChanges," Department of Economics Working Papers 22748, University of Bath, Department of Economics.
  22. Wenzhi Zhao & Zheng Tian & Zhiming Xia, 2010. "Ratio test for variance change point in linear process with long memory," Statistical Papers, Springer, vol. 51(2), pages 397-407, June.
  23. repec:ebl:ecbull:v:3:y:2004:i:24:p:1-11 is not listed on IDEAS
  24. Eyal Dvir & Kenneth S. Rogoff, 2009. "Three Epochs of Oil," NBER Working Papers 14927, National Bureau of Economic Research, Inc.
  25. Otavio Ribeiro de Medeiros and Vitor Leone, 2012. "Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble," Working Papers 2012/02, Nottingham Trent University, Nottingham Business School, Economics Division.
  26. María Dolores Gadea & Laura Mayoral, 2006. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
  27. Dieter Nautz & Jan Scheithauer, 2009. "Monetary Policy Implementation and Overnight Rate Persistence," SFB 649 Discussion Papers SFB649DP2009-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  28. 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.
  29. Efthymios Pavlidis & Alisa Yusupova & Ivan Paya & David Peel & Enrique Martinez-Garcia & Adrienne Mack & Valerie Crossman, 2014. "Episodes of exuberance in housing markets," Working Papers 64908732, Lancaster University Management School, Economics Department.
  30. Tillmann, Peter & Wolters, Maik H., 2014. "The changing dynamics of US inflation persistence: A quantile regression approach," Economics Working Papers 2014-09, Christian-Albrechts-University of Kiel, Department of Economics.
  31. Antonio Noriega & Carlos Capistrán & Manuel Ramos-Francia, 2013. "On the dynamics of inflation persistence around the world," Empirical Economics, Springer, vol. 44(3), pages 1243-1265, June.
  32. Manuel Ramos Francia & Daniel Chiquiar & Antonio E. Noriega, 2007. "Time Series Approach to Test a Change in Inflation Persistence: The Mexican Experience," Working Papers 2007-01, Banco de México.
  33. Robinson Kruse & Daniel Ventosa-Santaulària & Antonio E. Noriega, 2013. "Changes in persistence, spurious regressions and the Fisher hypothesis," CREATES Research Papers 2013-11, School of Economics and Management, University of Aarhus.
  34. Steven Cook, 2004. "Detecting changes in persistence in linear time series," Economics Bulletin, AccessEcon, vol. 3(24), pages 1-11.
  35. Jose Romero, 2012. "Inversión extranjera directa y crecimiento económico en México: 1940-2010," Serie documentos de trabajo del Centro de Estudios Económicos 2012-12, El Colegio de México, Centro de Estudios Económicos.
  36. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs E:47/2012, Bank of Finland.
  37. Luis F. Martins & Paulo M.M. Rodrigues, 2010. "Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates," Working Papers w201030, Banco de Portugal, Economics and Research Department.
  38. Taipalus , Katja, 2012. "Signaling asset price bubbles with time-series methods," Research Discussion Papers 7/2012, Bank of Finland.
  39. Halunga, Andreea G. & Osborn, Denise R. & Sensier, Marianne, 2009. "Changes in the order of integration of US and UK inflation," Economics Letters, Elsevier, vol. 102(1), pages 30-32, January.
  40. Alicia Puyana & Jose Romero, 2012. "Informalidad y dualismo en la economía mexicana," Serie documentos de trabajo del Centro de Estudios Económicos 2012-11, El Colegio de México, Centro de Estudios Económicos.
  41. José Romero, 2010. "Evolución de la demanda de importaciones de México: 1940-2009," Serie documentos de trabajo del Centro de Estudios Económicos 2010-03, El Colegio de México, Centro de Estudios Económicos.
  42. Noriega Antonio E. & Ramos Francia Manuel, 2008. "A Note on the Dynamics of Persistence in US Inflation," Working Papers 2008-12, Banco de México.
  43. Laura Mayoral, 2005. "The Persistence of Inflation in OECD Countries:a Fractionally Integrated Approach," Working Papers 259, Barcelona Graduate School of Economics.
  44. Aleksandar Zaklan & Jan Abrell & Anne Neumann, 2011. "Stationarity Changes in Long-Run Fossil Resource Prices: Evidence from Persistence Break Testing," Discussion Papers of DIW Berlin 1152, DIW Berlin, German Institute for Economic Research.
  45. Skrobotov, Anton, 2015. "Likelihood Ratio Test for Change in Persistence," Published Papers skr001, Russian Presidential Academy of National Economy and Public Administration.
  46. Asako, Kazumi & Liu, Zhentao, 2013. "A statistical model of speculative bubbles, with applications to the stock markets of the United States, Japan, and China," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2639-2651.
  47. 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.
  48. Pavlidis, Efthymios & Yusupova, Alisa & Paya, Ivan & Peel, David & Martinez-Garcia, Enrique & Mack, Adrienne & Grossman, Valerie, 2014. "Monitoring housing markets for episodes of exuberance: an application of the Phillips et al. (2012, 2013) GSADF test on the Dallas Fed International House Price Database," Globalization and Monetary Policy Institute Working Paper 165, Federal Reserve Bank of Dallas.
  49. Georgios KOURETAS & Mark E. WOHAR, . "The Dynamics of Inflation: A Study of a Large Number of Countries," EcoMod2010 259600097, EcoMod.
  50. 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. EGSeI.
  51. repec:ebl:ecbull:v:3:y:2004:i:39:p:1-10 is not listed on IDEAS
  52. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 23(2), pages 219-255, June.
  53. Serena Brianzoni & Roy Cerqueti & Elisabetta Michetti, 2010. "A Dynamic Stochastic Model of Asset Pricing with Heterogeneous Beliefs," Computational Economics, Society for Computational Economics, vol. 35(2), pages 165-188, February.
  54. Florian Heinen & Philipp Sibbertsen & Robinson Kruse, 2009. "Forecasting long memory time series under a break in persistence," CREATES Research Papers 2009-53, School of Economics and Management, University of Aarhus.
  55. Robert Taylor & Stephen Leybourne & David Harvey, 2004. "Modified Tests for a Change in Persistence," Econometric Society 2004 Australasian Meetings 64, Econometric Society.
  56. Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
  57. Eyal Dvir & Ken Rogoff, 2009. "The Three Epochs of Oil," Boston College Working Papers in Economics 706, Boston College Department of Economics.
  58. 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.
  59. Leone, Vitor & de Medeiros, Otavio Ribeiro, 2015. "Signalling the Dotcom bubble: A multiple changes in persistence approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 77-86.
  60. Hendrik Kaufmannz & Robinson Kruse, 2013. "Bias-corrected estimation in potentially mildly explosive autoregressive models," CREATES Research Papers 2013-10, School of Economics and Management, University of Aarhus.
  61. 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.
  62. Heinen, Florian & Willert, Juliane, 2011. "Monitoring a change in persistence of a long range dependent time series," Hannover Economic Papers (HEP) dp-479, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  63. Berkes, István & Hörmann, Siegfried & Horváth, Lajos, 2008. "The functional central limit theorem for a family of GARCH observations with applications," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2725-2730, November.
  64. Chen, Zhanshou & Jin, Zi & Tian, Zheng & Qi, Peiyan, 2012. "Bootstrap testing multiple changes in persistence for a heavy-tailed sequence," Computational Statistics & Data Analysis, Elsevier, vol. 56(7), pages 2303-2316.
  65. Park, Cheolbeom, 2010. "When does the dividend-price ratio predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 81-101, January.
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