Detection of change in persistence of a linear time series

By Jae-Young Kim. 2000

259 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/cec2e21f31339893949b5ae78d1b0dd57a8ed9a4

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In Economics and Econometrics

Citations in the corpus

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).2 One of the most prominent estimation procedures is the Backward Sup Augmented Dickey-Fuller (BSADF) approach introduced by Phillips,…”
CUSUM of Squares‐Based Tests for a Change in Persistence (2007, methodology): “Notice crucially, therefore, that we do not test the same null hypothesis as Kim (2000), Kim et al. (2002) and Busetti and Taylor (2004) who test the null of constant I(0), H0, against a change in persistence.”
Unit Root Tests under Time-Varying Variances (2005, background): “Further studies, e.g., on the effects of level breaks (Harvey et al., 2001) and of changes in persistence (Kim, 2000), have been carried out.”
Dealing with Structural Breaks (2005, background): “Kim (2000) and Busetti and Taylor (2001) consider testing the null hypothesis that the series is I(0) throughout the sample versus the alternative that it switches from I(0) to I(1) or vice versa.”
Tests for Cointegration Breakdown Over a Short Time Period (2006, background): “Examples include the tests of Hansen (1992), Quintos and Phillips (1993), Quintos (1997), Hansen and Johansen (1999), and Kim (1999).”
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…”
Tests of stationarity against a change in persistence (2004, background): “1 Ratio Tests BT and Kim et al. (2002) have independently proposed the test which rejects H0 for large values of the ratio statistic(1) KM(τ ) = [(1− τ)T ]−2PTt=[τT ]+1(Pti=[τT ]+1 21,i)(2) [τT ]−2 P[τT ] t=1 ( Pt i=1 20,i) 2 , (2.”
Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun (2016, methodology): “We acknowledge the support of the Federal Reserve Bank of Dallas.”
Testing for a break in persistence under long-range dependencies and mean shifts (2010, unknown): “A popular stationarity test against a break in persistence was introduced by Kim (2000).”
Testing for a change in persistence in the presence of non-stationary volatility☆ (2008, methodology): “Again, notice that under both H01 and H10, (4)-(5) reduces to the corresponding persistence change model in Kim (2000) only where σt = σ, t = 1, .”