FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2236505500> ?p ?o ?g. }

• W2236505500 endingPage "323" @default.
• W2236505500 startingPage "289" @default.
• W2236505500 abstract "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 alternates between stationary and unit root regimes. We derive the limit distributions of the tests under the null and establish their consistency under the relevant alternatives. We further show that the tests are inconsistent when directed against the incorrect alternative, thereby enabling identification of the nature of persistence in the initial regime. We also propose hybrid testing procedures that allow ruling out of stable stationary processes or ones that are subject to only stationary changes under the null, thereby aiding the researcher in interpreting a rejection as emanating from a switch between a unit root and stationary regime. The computation of the test statistics as well as asymptotic critical values is facilitated by the dynamic programming algorithm proposed in Perron and Qu (2006, Journal of Econometrics 134, 373–399) which allows imposing within- and cross-regime restrictions on the parameters. Finally, we present Monte Carlo evidence to show that the proposed procedures perform well in finite samples relative to those available in the literature." @default.
• W2236505500 created "2016-06-24" @default.
• W2236505500 creator A5017831058 @default.
• W2236505500 creator A5038896470 @default.
• W2236505500 creator A5043339596 @default.
• W2236505500 date "2012-07-30" @default.
• W2236505500 modified "2023-09-26" @default.
• W2236505500 title "WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE" @default.
• W2236505500 cites W1491711721 @default.
• W2236505500 cites W1966839091 @default.
• W2236505500 cites W1984394816 @default.
• W2236505500 cites W1991950581 @default.
• W2236505500 cites W2001992115 @default.
• W2236505500 cites W2005954167 @default.
• W2236505500 cites W2012215390 @default.
• W2236505500 cites W2014820345 @default.
• W2236505500 cites W2052697921 @default.
• W2236505500 cites W2057346721 @default.
• W2236505500 cites W2065875419 @default.
• W2236505500 cites W2068298385 @default.
• W2236505500 cites W2071212004 @default.
• W2236505500 cites W2088473513 @default.
• W2236505500 cites W2112066467 @default.
• W2236505500 cites W2116388354 @default.
• W2236505500 cites W2117077590 @default.
• W2236505500 cites W2118371391 @default.
• W2236505500 cites W2144452471 @default.
• W2236505500 cites W2149292156 @default.
• W2236505500 cites W2160906454 @default.
• W2236505500 cites W2161267628 @default.
• W2236505500 cites W2169107902 @default.
• W2236505500 cites W3122548310 @default.
• W2236505500 cites W3125742785 @default.
• W2236505500 cites W3125843378 @default.
• W2236505500 doi "https://doi.org/10.1017/s0266466612000357" @default.
• W2236505500 hasPublicationYear "2012" @default.
• W2236505500 type Work @default.
• W2236505500 sameAs 2236505500 @default.
• W2236505500 citedByCount "39" @default.
• W2236505500 countsByYear W22365055002012 @default.
• W2236505500 countsByYear W22365055002013 @default.
• W2236505500 countsByYear W22365055002014 @default.
• W2236505500 countsByYear W22365055002015 @default.
• W2236505500 countsByYear W22365055002017 @default.
• W2236505500 countsByYear W22365055002019 @default.
• W2236505500 countsByYear W22365055002020 @default.
• W2236505500 countsByYear W22365055002021 @default.
• W2236505500 countsByYear W22365055002022 @default.
• W2236505500 crossrefType "journal-article" @default.
• W2236505500 hasAuthorship W2236505500A5017831058 @default.
• W2236505500 hasAuthorship W2236505500A5038896470 @default.
• W2236505500 hasAuthorship W2236505500A5043339596 @default.
• W2236505500 hasConcept C105795698 @default.
• W2236505500 hasConcept C110405555 @default.
• W2236505500 hasConcept C119047807 @default.
• W2236505500 hasConcept C134306372 @default.
• W2236505500 hasConcept C143724316 @default.
• W2236505500 hasConcept C144341231 @default.
• W2236505500 hasConcept C145162277 @default.
• W2236505500 hasConcept C149782125 @default.
• W2236505500 hasConcept C151201525 @default.
• W2236505500 hasConcept C151730666 @default.
• W2236505500 hasConcept C159877910 @default.
• W2236505500 hasConcept C161584116 @default.
• W2236505500 hasConcept C185429906 @default.
• W2236505500 hasConcept C191988596 @default.
• W2236505500 hasConcept C19499675 @default.
• W2236505500 hasConcept C195561663 @default.
• W2236505500 hasConcept C199163554 @default.
• W2236505500 hasConcept C203274628 @default.
• W2236505500 hasConcept C203763787 @default.
• W2236505500 hasConcept C2524010 @default.
• W2236505500 hasConcept C2776436953 @default.
• W2236505500 hasConcept C28826006 @default.
• W2236505500 hasConcept C33923547 @default.
• W2236505500 hasConcept C41008148 @default.
• W2236505500 hasConcept C5297727 @default.
• W2236505500 hasConcept C65778772 @default.
• W2236505500 hasConcept C77088390 @default.
• W2236505500 hasConcept C86803240 @default.
• W2236505500 hasConcept C87007009 @default.
• W2236505500 hasConceptScore W2236505500C105795698 @default.
• W2236505500 hasConceptScore W2236505500C110405555 @default.
• W2236505500 hasConceptScore W2236505500C119047807 @default.
• W2236505500 hasConceptScore W2236505500C134306372 @default.
• W2236505500 hasConceptScore W2236505500C143724316 @default.
• W2236505500 hasConceptScore W2236505500C144341231 @default.
• W2236505500 hasConceptScore W2236505500C145162277 @default.
• W2236505500 hasConceptScore W2236505500C149782125 @default.
• W2236505500 hasConceptScore W2236505500C151201525 @default.
• W2236505500 hasConceptScore W2236505500C151730666 @default.
• W2236505500 hasConceptScore W2236505500C159877910 @default.
• W2236505500 hasConceptScore W2236505500C161584116 @default.
• W2236505500 hasConceptScore W2236505500C185429906 @default.
• W2236505500 hasConceptScore W2236505500C191988596 @default.
• W2236505500 hasConceptScore W2236505500C19499675 @default.
• W2236505500 hasConceptScore W2236505500C195561663 @default.
• W2236505500 hasConceptScore W2236505500C199163554 @default.

• next