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Modified Tests for a Change in Persistence

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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Cited by:

  1. Mohitosh Kejriwal, 2020. "A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(3), pages 669-685, June.
  2. Assaf, Ata & Bhandari, Avishek & Charif, Husni & Demir, Ender, 2022. "Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19," International Review of Financial Analysis, Elsevier, vol. 82(C).
  3. Ahmad Hassan Ahmad & Eric J. Pentecost, 2020. "Testing the ‘Fear of Floating’ Hypothesis: A Statistical Analysis for Eight African Countries," Open Economies Review, Springer, vol. 31(2), pages 407-430, April.
  4. Uwe Hassler & Jan Scheithauer, 2011. "Detecting changes from short to long memory," Statistical Papers, Springer, vol. 52(4), pages 847-870, November.
  5. Eyal Dvir & Ken Rogoff, 2009. "The Three Epochs of Oil," Boston College Working Papers in Economics 706, Boston College Department of Economics.
  6. Pedro Bação, 2006. "The Performance of Structural Change Tests," Quality & Quantity: International Journal of Methodology, Springer, vol. 40(4), pages 611-628, August.
  7. Ahmad, A.H. & Harvey, David I. & Pentecost, Eric J., 2011. "Exchange rate regime verification: An alternative method of testing for regime changes," Economics Letters, Elsevier, vol. 113(1), pages 96-98, October.
  8. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland, number 2012_047.
  9. Pang, Tianxiao & Du, Lingjie & Chong, Terence Tai-Leung, 2021. "Estimating multiple breaks in nonstationary autoregressive models," Journal of Econometrics, Elsevier, vol. 221(1), pages 277-311.
  10. Evžen Kočenda & Balázs Varga, 2018. "The Impact of Monetary Strategies on Inflation Persistence," International Journal of Central Banking, International Journal of Central Banking, vol. 14(4), pages 229-274, September.
  11. Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2019. "Unemployment rate hysteresis and the great recession: exploring the metropolitan evidence," Empirical Economics, Springer, vol. 56(1), pages 61-79, January.
  12. 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.
  13. Christis Katsouris, 2023. "Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models," Papers 2308.13915, arXiv.org.
  14. Górecki, Tomasz & Horváth, Lajos & Kokoszka, Piotr, 2018. "Change point detection in heteroscedastic time series," Econometrics and Statistics, Elsevier, vol. 7(C), pages 63-88.
  15. repec:zbw:bofism:2012_047 is not listed on IDEAS
  16. 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.
  17. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047, July.
  18. Milas, Costas & Dergiades, Theologos & Panagiotidis, Theodore & Papapanagiotou, Georgios, 2024. "An assessment of inflation targeting," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).
  19. Kruse, Yves Robinson & Kaufmann, Hendrik, 2015. "Bias-corrected estimation in mildly explosive autoregressions," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112897, Verein für Socialpolitik / German Economic Association.
  20. Daniel Chiquiar & Antonio Noriega & Manuel Ramos-Francia, 2010. "A time-series approach to test a change in inflation persistence: the Mexican experience," Applied Economics, Taylor & Francis Journals, vol. 42(24), pages 3067-3075.
  21. Paulo M.M. Rodrigues & Philipp Sibbertsen, 2019. "Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium," Working Papers w201912, Banco de Portugal, Economics and Research Department.
  22. Zsolt Darvas & Balẳ Varga, 2014. "Inflation persistence in central and eastern European countries," Applied Economics, Taylor & Francis Journals, vol. 46(13), pages 1437-1448, May.
  23. Uwe Hassler & Jan Scheithauer, 2008. "On Critical Values of Tests against a Change in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 705-710, October.
  24. S Coleman & K Sirichand, 2015. "Investigating Multiple Changes in Persistence in International Yields," Economic Issues Journal Articles, Economic Issues, vol. 20(1), pages 65-90, March.
  25. Daiqing Xi & Tianxiao Pang, 2021. "Estimating multiple breaks in mean sequentially with fractionally integrated errors," Statistical Papers, Springer, vol. 62(1), pages 451-494, February.
  26. Simeon Coleman Author name: Vitor Leone, 2012. "Time-series characteristics of UK commercial property returns: Testing for multiple changes in persistence," NBS Discussion Papers in Economics 2012/03, Economics, Nottingham Business School, Nottingham Trent University.
  27. Zhanshou Chen & Yanting Xiao & Fuxiao Li, 2021. "Monitoring memory parameter change-points in long-memory time series," Empirical Economics, Springer, vol. 60(5), pages 2365-2389, May.
  28. Lajos Horváth & William Pouliot & Shixuan Wang, 2017. "Detecting at-Most-m Changes in Linear Regression Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 552-590, July.
  29. Roy Cerqueti & Mauro Costantini & Luciano Gutierrez, 2009. "New panel tests to assess inflation persistence," Working Papers 54-2009, Macerata University, Department of Finance and Economic Sciences, revised Oct 2009.
  30. Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020. "Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 676-690, September.
  31. 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, Department of Economics.
  32. Gabriel Zsurkis & JoÃo Nicolau & Paulo M. M. Rodrigues, 2021. "A Re‐Examination of Inflation Persistence Dynamics in OECD Countries: A New Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 935-959, August.
  33. A. M. Robert Taylor, 2005. "Fluctuation Tests for a Change in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 207-230, April.
  34. Demetrescu, Matei & Rodrigues, Paulo M.M., 2022. "Residual-augmented IVX predictive regression," Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
  35. Juan Carlos Cuestas & Carlyn Dobson, 2011. "Inflation persistence: Implication for a monetary union in the Caribbean," Working Papers 2011017, The University of Sheffield, Department of Economics.
  36. Paulo M.M. Rodrigues & Antonio Rubia, 2011. "A Class of Robust Tests in Augmented Predictive Regressions," Working Papers w201126, Banco de Portugal, Economics and Research Department.
  37. Martins, Luis F. & Rodrigues, Paulo M.M., 2014. "Testing for persistence change in fractionally integrated models: An application to world inflation rates," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 502-522.
  38. Georgios P. Kouretas & Mark E. Wohar, 2012. "The dynamics of inflation: a study of a large number of countries," Applied Economics, Taylor & Francis Journals, vol. 44(16), pages 2001-2026, June.
  39. Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007. "Long memory modelling of inflation with stochastic variance and structural breaks," CREATES Research Papers 2007-44, Department of Economics and Business Economics, Aarhus University.
  40. repec:zbw:bofrdp:2012_007 is not listed on IDEAS
  41. Noriega, Antonio E. & Ramos-Francia, Manuel, 2009. "The dynamics of persistence in US inflation," Economics Letters, Elsevier, vol. 105(2), pages 168-172, November.
  42. Rob Ackrill and Simeon Coleman, 2012. "Inflation dynamics in central and eastern European countries," NBS Discussion Papers in Economics 2012/01, Economics, Nottingham Business School, Nottingham Trent University.
  43. Cook, Steven & Fosten, Jack, 2019. "Replicating rockets and feathers," Energy Economics, Elsevier, vol. 82(C), pages 139-151.
  44. Roy Cerqueti & Mauro Costantini & Luciano Gutierrez & Joakim Westerlund, 2019. "Panel stationary tests against changes in persistence," Statistical Papers, Springer, vol. 60(4), pages 1079-1100, August.
  45. Hans KREMERS & Andreas LOESCHEL, 2010. "The Strategic Implications of Setting Border Tax Adjustments," EcoMod2010 259600097, EcoMod.
  46. Assaf, Ata & Mokni, Khaled & Yousaf, Imran & Bhandari, Avishek, 2023. "Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19," Research in International Business and Finance, Elsevier, vol. 64(C).
  47. Otavio Ribeiro de Medeiros and Vitor Leone, 2012. "Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble," NBS Discussion Papers in Economics 2012/02, Economics, Nottingham Business School, Nottingham Trent University.
  48. Chen, Wei & Huang, Zhuo & Yi, Yanping, 2015. "Is there a structural change in the persistence of WTI–Brent oil price spreads in the post-2010 period?," Economic Modelling, Elsevier, vol. 50(C), pages 64-71.
  49. Taipalus, Katja, 2012. "Signaling asset price bubbles with time-series methods," Bank of Finland Research Discussion Papers 7/2012, Bank of Finland.
  50. Pang, Tianxiao & Tai-Leung Chong, Terence & Zhang, Danna & Liang, Yanling, 2018. "Structural Change In Nonstationary Ar(1) Models," Econometric Theory, Cambridge University Press, vol. 34(5), pages 985-1017, October.
  51. Dergiades, Theologos & Kaufmann, Robert K. & Panagiotidis, Theodore, 2016. "Long-run changes in radiative forcing and surface temperature: The effect of human activity over the last five centuries," Journal of Environmental Economics and Management, Elsevier, vol. 76(C), pages 67-85.
  52. Petrenko, Victoria (Петренко, ВИктория) & Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Maria (Турунцева, Мария), 2016. "Testing of Changes in Persistence and Their Effect on the Forecasting Quality [Тестирование Изменения Инерционности И Влияние На Качество Прогнозов]," Working Papers 542, Russian Presidential Academy of National Economy and Public Administration.
  53. Noriega Antonio E. & Ramos Francia Manuel, 2008. "A Note on the Dynamics of Persistence in US Inflation," Working Papers 2008-12, Banco de México.
  54. Juan Carlos Cuestas & Carlyn Ramlogan-Dobson, 2013. "Convergence of Inflationary Shocks: Evidence from the Caribbean," The World Economy, Wiley Blackwell, vol. 36(9), pages 1229-1243, September.
  55. Park, Cheolbeom, 2010. "When does the dividend-price ratio predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 81-101, January.
  56. Jorge Belaire-Franch, 2019. "A note on the evidence of inflation persistence around the world," Empirical Economics, Springer, vol. 56(5), pages 1477-1487, May.
  57. Hendrik Kaufmannz & Robinson Kruse, 2013. "Bias-corrected estimation in potentially mildly explosive autoregressive models," CREATES Research Papers 2013-10, Department of Economics and Business Economics, Aarhus University.
  58. Li, Fuxiao & Tian, Zheng & Xiao, Yanting & Chen, Zhanshou, 2015. "Variance change-point detection in panel data models," Economics Letters, Elsevier, vol. 126(C), pages 140-143.
  59. Luis F. Martins & Paulo M. M. Rodrigues, 2022. "Tests for segmented cointegration: an application to US governments budgets," Empirical Economics, Springer, vol. 63(2), pages 567-600, August.
  60. 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.
  61. Eiji Kurozumi, 2005. "Detection of Structural Change in the Long‐run Persistence in a Univariate Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 181-206, April.
  62. Cerqueti, Roy & Costantini, Mauro & Gutierrez, Luciano, 2007. "Change in persistence tests for panels," Economics & Statistics Discussion Papers esdp07040, University of Molise, Department of Economics.
  63. Simeon Coleman & Vitor Leone, 2015. "An investigation of regime shifts in UK commercial property returns: a time series analysis," Applied Economics, Taylor & Francis Journals, vol. 47(60), pages 6479-6492, December.
  64. 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.
  65. Taipalus, Katja, 2012. "Signaling asset price bubbles with time-series methods," Research Discussion Papers 7/2012, Bank of Finland.
  66. Paulo M. M. Rodrigues & Philipp Sibbertsen & Michelle Voges, 2024. "The stability of government bond markets’ equilibrium and the interdependence of lending rates," Empirical Economics, Springer, vol. 67(6), pages 2503-2538, December.
  67. Xiao Han & Nikolaos Sakkas & Jo Danbolt & Arman Eshraghi, 2022. "Persistence of investor sentiment and market mispricing," The Financial Review, Eastern Finance Association, vol. 57(3), pages 617-640, August.
  68. Paulo M.M. Rodrigues & Jorge M. L. G. Andraz, 2015. "A Reappraisal of Eurozone Countries Output Differentials," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  69. Mohamed Bouabidi, 2022. "The Tunisian exchange rate regime: Is it really floating?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4684-4704, October.
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