MARC details
| 000 -LEADER |
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| fixed length control field |
02314nam a22002657a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20240319135845.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
240319b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
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| International Standard Serial Number |
02664666 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HB139.T52 ECO |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Kejriwal, Mohitosh |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Wald tests for detecting multiple structural changes in persistence |
| Statement of responsibility, etc. |
created by Mohitosh Kejriwal , Pierre Perron and Jing Zhou |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Cambridge: |
| Name of producer, publisher, distributor, manufacturer |
Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2013. |
| 336 ## - CONTENT TYPE |
|---|
| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
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| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
|---|
| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Econometric Theory |
| Volume/sequential designation |
Volume 29, number 2 |
| 520 3# - SUMMARY, ETC. |
|---|
| Summary, etc. |
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 Econometrics134, 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. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Analysis of variance |
| Form subdivision |
Statistical test |
| General subdivision |
Numerical analysis |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Perron, Pierre |
| Relator term |
co author |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Zhou, Jing |
| Relator term |
co author |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
https://doi.org/10.1017/S0266466612000357 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |