Tests for a change in persistence against the null of difference-stationarity
Tests for a change in persistence against the null of difference-stationarity
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DOI：
10.1111/1368-423x.t01-1-00110
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发表时间：
2003-12
影响因子：
1.9
通讯作者：
S. Leybourne;Tae-Hwan Kim;Vanessa Smith;P. Newbold
中科院分区：
文献类型：
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作者：
S. Leybourne;Tae-Hwan Kim;Vanessa Smith;P. Newbold
经济学家已经认识到，时间序列的结构可能会从趋势平稳性转变为差异平稳性，反之亦然。以差异平稳性为零假设，我们开发了这种可能性的测试，在备择假设下，任何可能的变化的位置和方向都不需要指定。版权所有皇家经济学会，2003年
Economists have recognized the possibility that a time series may change structure from trend-stationarity to difference-stationarity, or vice versa. Taking difference-stationarity as the null hypothesis, we develop tests for this possibility, where neither the location nor direction of any possible change under the alternative hypothesis need be specified. Copyright Royal Economic Society, 2003