کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097106 1376571 2008 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Testing for a change in persistence in the presence of non-stationary volatility
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Testing for a change in persistence in the presence of non-stationary volatility
چکیده انگلیسی
In this paper we consider tests for the null of (trend-) stationarity against the alternative of a change in persistence at some (known or unknown) point in the observed sample, either from I(0) to I(1) behaviour or vice versa, of, inter alia, [Kim, J., 2000. Detection of change in persistence of a linear time series. Journal of Econometrics 95, 97-116]. We show that in circumstances where the innovation process displays non-stationary unconditional volatility of a very general form, which includes single and multiple volatility breaks as special cases, the ratio-based statistics used to test for persistence change do not have pivotal limiting null distributions. Numerical evidence suggests that this can cause severe over-sizing in the tests. In practice it may therefore be hard to discriminate between persistence change processes and processes with constant persistence but which display time-varying unconditional volatility. We solve the identified inference problem by proposing wild bootstrap-based implementations of the tests. Monte Carlo evidence suggests that the bootstrap tests perform well in finite samples. An empirical illustration using US price inflation data is provided.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 147, Issue 1, November 2008, Pages 84-98
نویسندگان
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