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A simple test on structural change in long-memory time series

Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - 2017

We propose a simple test on structural change in long-range dependent time series. It is based on the idea that the test statistic of the standard CUSUM test retains its asymptotic distribution if it is applied to fractionally differenced data. We prove that our approach is asymptotically valid...

Persistent link: https://www.econbiz.de/10011655296

Nominal and real wages in the UK, 1750 - 2015 : mean reversion, persistence and structural breaks

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022

This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...

Persistent link: https://www.econbiz.de/10013417630

Local Structural Trend Break in Stationarity Testing

Skrobotov, Anton - 2013

In a recently publicized study, Harvey et al. (2012) investigated procedures for unit root testing employing break detection methods under local break in trend. We apply this methodology to analyze asymptotic and nite sample behavior of procedures under local break to test the stationarity null...

Persistent link: https://www.econbiz.de/10013072780

A Simple Modification of the Busetti-Harvey Stationarity Tests with Structural Breaks at Unknown Time

Skrobotov, Anton - 2014

In this paper a modification of the Busetti and Harvey (2001) test with structural break at unknown time is proposed. As the stationarity test with a super-consistent break date estimator is effective under large breaks and the infimum-test is effective under small breaks, although it has...

Persistent link: https://www.econbiz.de/10013050061

Date-stamping US housing market explosivity

Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2018

Generalized supADF (GSADF) test procedure developed by Phillips et al. (Testing for multiple bubbles: Historical episodes of …

Persistent link: https://www.econbiz.de/10011812671

Date-stamping US housing market explosivity

Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2017

Generalized sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (Testing for Multiple Bubbles: Historical Episodes …

Persistent link: https://www.econbiz.de/10011674010

The real-time predictive content of asset price bubbles for macro forecasts

Beckers, Benjamin - 2015

price bubbles. Against this background, the paper evaluates if new advances in real-time bubble detection, as brought … the bubbles in the sample. Therefore, the paper suggests a combination approach of different bubble indicators which helps … to account for the uncertainty around start and end dates of asset price bubbles. Additionally, the paper then …

Persistent link: https://www.econbiz.de/10011300629

Inference on the long-memory properties of time series with non-stationary volatility

Demetrescu, Matei; Sibbertsen, Philipp - 2014

Many time series exhibit unconditional heteroskedasticity, often in addition to conditional one. But such time-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root and stationarity tests possess null distributions...

Persistent link: https://www.econbiz.de/10010375374

Two Structural Breaks and the Unit Root Hypothesis : New Evidence About Unemployment in Australia

Konya, Laszlo - 2002

Following Konya (2000a, 2000b), this paper is the third in a series analyzing unemployment in Australia in the period of 1960 to 1997 with special regard to the unit-root versus stationarity hypotheses. It provides new evidence by allowing for the possibility of two endogenous breaks in the...

Persistent link: https://www.econbiz.de/10014123296

Bias Correction of KPSS Test with Structural Break for Reducing the Size Distortion

Skrobotov, Anton - 2013

In this paper we extend the stationarity test proposed by Kurozumi and Tanaka (2010) for reducing size distortion with one structural break. We fi nd the bias up to the order of 1=T for four types of models containing structural breaks. The simulations on finite samples show a reducing of size...

Persistent link: https://www.econbiz.de/10013089542