Leybourne, Stephen; Taylor, Robert; Kim, Tae-Hwan - In: Journal of Time Series Analysis 28 (2007) 3, pp. 408-433
Using standardized cumulative sums of squared sub-sample residuals, we propose a new ratio-based test of the null hypothesis that a time series exhibits no change in its persistence structure [specifically that it displays constant I(1) behaviour] against the alternative of a change in...