CUSUM of Squares‐Based Tests for a Change in Persistence

By S. Leybourne, Robert J. Taylor, Tae-Hwan Kim. 2007

91 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/1e659dd0e349344a7801bbabc0490446e56c4052

Citations in the corpus

• Testing for a break in persistence under long-range dependencies and mean shifts (2010, unknown): “In this paper we show that the Leybourne et al. (2007) test on a break in persistence becomes biased when the data generating process has a shift in the mean function.”