Tests of stationarity against a change in persistence

By F. Busetti, Alan M. Taylor. 2004

245 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a365857ec651569a90e1c332296952ab68aa8574

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In Economics and Econometrics

Citations in the corpus

Extensions of some classical methods in change point analysis (2014, background): “Adapting the main idea in Busetti and Taylor (2004), Horváth et al. (2008), Kim (2000) and Kim et al. (2002) to our case, the testing of the stability of the quantiles can be based on the following consequence of Theorem 3.1: for every 0 < δ < 1 we have sup δ<t<1 sup0≤u≤t |YN (u, s0)| sup0≤u≤t |YN…”
Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun (2016, methodology): “…Homm and Breitung (2012) show that the SADF test outperforms alternative testing methods such as the modi ed versions proposed by Bhargava (1986), Busetti and Taylor (2004), and Kim (2000) and Kim et al. (2002) in the presence of a single change in the persistence from a random walk to an…”
Asset Price Bubbles and Systemic Risk (2019, unknown): “Many strategies are built around tests for nonstationary behavior in price data (Kim, 2000; Kim and Amador, 2002; Busetti and Taylor, 2004; Breitung and Homm, 2012).”
Testing for a change in persistence in the presence of non-stationary volatility☆ (2008, methodology): “Continuing the testing sequence suggested in Busetti and Taylor (2004), of the series where the Kb4 test rejects the null hypothesis at the 1% level12, we now make a comparison of the (heteroskedastic) p-values for the outcomes of the K1 and 10Corresponding results for the studentised ratio tests…”
Local explosion modelling by non‐causal process (2017, unknown): “the explosive behavior in average, as in Busetti and Taylor (2004), Phillips et al. (2011) or Phillips et al. (2015) approaches.”
Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (2012, methodology): “In the literature on tests for a change in persistence, several variants of Kim’s (2000) and Busetti and Taylor’s (2004) tests are”
CUSUM of Squares‐Based Tests for a Change in Persistence (2007, methodology): “(2002) and Busetti and Taylor (2004), develop tests for the constant I(0) DGP 410 S.”