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Fluctuation tests for a change in persistence

Taylor, Robert - 2004

Persistent link: https://www.econbiz.de/10002141954

Conditional term structure of inflation forecast uncertainty : the copula approach

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Testing for multiple-period predictability between serially dependent time series

Heaton, Christopher - In: International journal of forecasting 31 (2015) 3, pp. 587-597

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Conditional term structure of inflation forecast uncertainty : the copula approach

Charemza, Wojciech; Díaz, Carlos; Makarova, Svetlana D. - In: Romanian journal of economic forecasting 22 (2019) 1, pp. 5-18

Persistent link: https://www.econbiz.de/10012021948

Fluctuation Tests for a Change in Persistence

Taylor, A. M. Robert - 2005

In this paper, we develop a set of new persistence change tests which are similar in spirit to those of Kim [Journal of Econometrics (2000) Vol. 95, pp. 97-116], Kim et al. [Journal of Econometrics (2002) Vol. 109, pp. 389-392] and Busetti and Taylor [Journal of Econometrics (2004) Vol. 123, pp....

Persistent link: https://www.econbiz.de/10014066434