IDEAS home Printed from https://ideas.repec.org/a/spr/stpapr/v51y2010i2p397-407.html
   My bibliography  Save this article

Ratio test for variance change point in linear process with long memory

Author

Listed:
  • Wenzhi Zhao
  • Zheng Tian
  • Zhiming Xia

Abstract

No abstract is available for this item.

Suggested Citation

  • Wenzhi Zhao & Zheng Tian & Zhiming Xia, 2010. "Ratio test for variance change point in linear process with long memory," Statistical Papers, Springer, vol. 51(2), pages 397-407, June.
    • Handle: RePEc:spr:stpapr:v:51:y:2010:i:2:p:397-407
    DOI: 10.1007/s00362-009-0202-3
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00362-009-0202-3
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s00362-009-0202-3?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Lihong Wang & Jinde Wang, 2006. "Change-of-variance problem for linear processes with long memory," Statistical Papers, Springer, vol. 47(2), pages 279-298, March.
    2. Gombay Edit & Horváth Lajos & Husková Marie, 1996. "Estimators And Tests For Change In Variances," Statistics & Risk Modeling, De Gruyter, vol. 14(2), pages 145-160, February.
    3. Sangyeol Lee & Siyun Park, 2001. "The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(4), pages 625-644, December.
    4. B. Abraham & W. Wei, 1984. "Inferences about the parameters of a time series model with changing variance," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 31(1), pages 183-194, December.
    5. Kim, Jae-Young & Belaire-Franch, Jorge & Amador, Rosa Badillo, 2002. "Corrigendum to "Detection of change in persistence of a linear time series" [J. Econom. 95 (2000) 97-116]," Journal of Econometrics, Elsevier, vol. 109(2), pages 389-392, August.
    6. Kim, Jae-Young, 2000. "Detection of change in persistence of a linear time series," Journal of Econometrics, Elsevier, vol. 95(1), pages 97-116, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fa-mei Zheng & Qing-pei Zang, 2015. "A general pattern of asymptotic behavior of the R/S statistics for linear processes," Statistical Papers, Springer, vol. 56(1), pages 191-204, February.
    2. Stefan Albert & Michael Messer & Julia Schiemann & Jochen Roeper & Gaby Schneider, 2017. "Multi-Scale Detection of Variance Changes in Renewal Processes in the Presence of Rate Change Points," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 1028-1052, November.
    3. Barbora Peštová & Michal Pešta, 2018. "Abrupt change in mean using block bootstrap and avoiding variance estimation," Computational Statistics, Springer, vol. 33(1), pages 413-441, March.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ahmad, A.H. & Harvey, David I. & Pentecost, Eric J., 2011. "Exchange rate regime verification: An alternative method of testing for regime changes," Economics Letters, Elsevier, vol. 113(1), pages 96-98, October.
    2. Zsolt Darvas & Balẳ Varga, 2014. "Inflation persistence in central and eastern European countries," Applied Economics, Taylor & Francis Journals, vol. 46(13), pages 1437-1448, May.
    3. Hao Jin & Si Zhang & Jinsuo Zhang, 2017. "Spurious regression due to neglected of non-stationary volatility," Computational Statistics, Springer, vol. 32(3), pages 1065-1081, September.
    4. Efthymios Pavlidis & Alisa Yusupova & Ivan Paya & David Peel & Enrique Martínez-García & Adrienne Mack & Valerie Grossman, 2016. "Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun," The Journal of Real Estate Finance and Economics, Springer, vol. 53(4), pages 419-449, November.
    5. Philipp Sibbertsen & Robinson Kruse, 2009. "Testing for a break in persistence under long‐range dependencies," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(3), pages 263-285, May.
    6. Markus Brunnermeier & Simon Rother & Isabel Schnabel & Itay Goldstein, 2020. "Asset Price Bubbles and Systemic Risk," The Review of Financial Studies, Society for Financial Studies, vol. 33(9), pages 4272-4317.
    7. Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing for a Change in Persistence in the Presence of a Volatility Shift," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 761-781, December.
    8. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2006. "Modified tests for a change in persistence," Journal of Econometrics, Elsevier, vol. 134(2), pages 441-469, October.
    9. Nautz, Dieter & Scheithauer, Jan, 2011. "Monetary policy implementation and overnight rate persistence," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1375-1386.
    10. Florian Heinen & Philipp Sibbertsen & Robinson Kruse, 2009. "Forecasting long memory time series under a break in persistence," CREATES Research Papers 2009-53, Department of Economics and Business Economics, Aarhus University.
    11. Evžen Kočenda & Balázs Varga, 2018. "The Impact of Monetary Strategies on Inflation Persistence," International Journal of Central Banking, International Journal of Central Banking, vol. 14(4), pages 229-274, September.
    12. Kruse Robinson & Ventosa-Santaulària Daniel & Noriega Antonio E., 2017. "Changes in persistence, spurious regressions and the Fisher hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-28, June.
    13. Otavio Ribeiro de Medeiros and Vitor Leone, 2012. "Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble," NBS Discussion Papers in Economics 2012/02, Economics, Nottingham Business School, Nottingham Trent University.
    14. Frömmel, Michael & Kruse, Robinson, 2015. "Interest rate convergence in the EMS prior to European Monetary Union," Journal of Policy Modeling, Elsevier, vol. 37(6), pages 990-1004.
    15. Robert Taylor & Stephen Leybourne, 2004. "Some New Tests for a Change in Persistence," Economics Bulletin, AccessEcon, vol. 3(39), pages 1-10.
    16. Xu, Ke-Li & Phillips, Peter C.B., 2008. "Adaptive estimation of autoregressive models with time-varying variances," Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
    17. Roy Cerqueti & Mauro Costantini & Luciano Gutierrez, 2009. "New panel tests to assess inflation persistence," Working Papers 54-2009, Macerata University, Department of Finance and Economic Sciences, revised Oct 2009.
    18. Galeano, Pedro & Peña, Daniel, 2004. "Variance changes detection in multivariate time series," DES - Working Papers. Statistics and Econometrics. WS ws041305, Universidad Carlos III de Madrid. Departamento de Estadística.
    19. Asako, Kazumi & Liu, Zhentao, 2013. "A statistical model of speculative bubbles, with applications to the stock markets of the United States, Japan, and China," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2639-2651.
    20. Martins, Luis F. & Rodrigues, Paulo M.M., 2014. "Testing for persistence change in fractionally integrated models: An application to world inflation rates," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 502-522.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:stpapr:v:51:y:2010:i:2:p:397-407. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.