WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE

This paper considers the problem of testing for multiple structural changes in the persistence of a univariate time series. We propose sup-Wald tests of the null hypothesis that the process has an autoregressive unit root throughout the sample against the alternative hypothesis that the process alte...

Full description

Saved in:

Bibliographic Details
Published in:	Econometric theory Vol. 29; no. 2; pp. 289 - 323
Main Authors:	Kejriwal, Mohitosh, Perron, Pierre, Zhou, Jing
Format:	Journal Article
Language:	English
Published:	New York, USA Cambridge University Press 01.04.2013 Cambridge Univ. Press
Subjects:	Alternatives Changes Computation Computational methods Critical values Dynamic programming Econometrics Economic inflation Economic theory Hypotheses Hypothesis Lagrange multiplier Macroeconomics Monte Carlo simulation Null hypothesis Random variables Researcher subject relations Root test Simulations Statistical methods Statistical models Statistics Structural change Studies Tests Time series Unit root Weierstrass M test
ISSN:	0266-4666, 1469-4360
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

Be the first to leave a comment!