In this paper, we investigate a test for structural change in the long-run persistence in a univariate time series. Our model has a unit root with no structural change under the null hypothesis, while under the alternative it changes from a unit-root process to a stationary one or vice versa. We...

In this study, we consider a four-regime bubble model under the assumption of time-varying volatility and propose the algorithm of estimating the break dates with volatility correction: First, we estimate the emerging date of the explosive bubble, its collapsing date, and the recovering date to...