My bibliography
Save this item
Detecting Multiple Changes in Persistence
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Alfred A. Haug, 2014.
"On real interest rate persistence: the role of breaks,"
Applied Economics, Taylor & Francis Journals, vol. 46(10), pages 1058-1066, April.
- Alfred Haug, 2012. "On real interest rate persistence: the role of breaks," Working Papers 65, Department of Applied Econometrics, Warsaw School of Economics.
- Alfred A. Haug, 2013. "On Real Interest Rate Persistence: The Role of Breaks," Working Papers 1303, University of Otago, Department of Economics, revised Jan 2013.
- Cheng, Ka Ming, 2022. "Doubts on natural rate of unemployment: Evidence and policy implications," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 230-239.
- 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.
- David Greasley & Les Oxley, 2010. "Clio And The Economist: Making Historians Count," Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 755-774, December.
- Juan Carlos Cuestas, 2020.
"Changes in sovereign debt dynamics in Central and Eastern Europe,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(1), pages 63-71, January.
- Juan Carlos Cuestas, 2016. "Changes in sovereign debt dynamics in Central and Eastern Europe," Working Papers 16-10, Asociación Española de Economía y Finanzas Internacionales.
- Juan Carlos Cuestas, 2019. "Changes in sovereign debt dynamics in Central and Eastern Europe," Bank of Estonia Working Papers wp2018-06, Bank of Estonia.
- Lee, Hwa-Taek & Yoon, Gawon, 2007. "Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates," Economics Working Papers 2007-24, Christian-Albrechts-University of Kiel, Department of Economics.
- Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020.
"Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 676-690, September.
- Mohitosh Kejriwal & Xuewen Yu, 2018. "Bootstrap Procedures for Detecting Multiple Persistance4 Shifts in a heteroskedastic Time Series," Purdue University Economics Working Papers 1308, Purdue University, Department of Economics.
- Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020. "Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series," Boston University - Department of Economics - Working Papers Series WP2020-009, Boston University - Department of Economics.
- Dilem Yıldırım & Dilan Aydın, 2021. "One Crisis After Another: A Dynamic Unemployment Persistence Analysis For The Gips Countries," ERC Working Papers 2102, ERC - Economic Research Center, Middle East Technical University, revised Apr 2021.
- Luis A. Gil-Alana & Christophe André & Rangan Gupta & Tsangyao Chang & Omid Ranjbar, 2016.
"The Feldstein--Horioka puzzle in South Africa: A fractional cointegration approach,"
The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 25(7), pages 978-991, October.
- Luis A Gil-Alana & Christophe André & Rangan Gupta & Tsangyao Chang & Omid Ranjbar, 2015. "The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach," Working Papers 201501, University of Pretoria, Department of Economics.
- Winkelried, Diego, 2021.
"Unit roots in real primary commodity prices? A meta-analysis of the Grilli and Yang data set,"
Journal of Commodity Markets, Elsevier, vol. 23(C).
- Winkelried, Diego, 2017. "Unit roots in real primary commodity prices? A meta-analysis of the Grilli and Yang data set," Working Papers 2017-013, Banco Central de Reserva del Perú.
- Juan Carlos Cuestas & Fabio Filipozzi & Karsten Staehr, 2017.
"Uncovered interest parity in Central and Eastern Europe: Expectations and structural breaks,"
Review of International Economics, Wiley Blackwell, vol. 25(4), pages 695-710, September.
- Juan Carlos Cuestas & Karsten Staehr & Fabio Filipozzi, 2015. "Uncovered interest parity in Central and Eastern Europe : expectations and structural breaks," Bank of Estonia Working Papers wp2015-4, Bank of Estonia, revised 30 Dec 2015.
- Chen, Wei & Huang, Zhuo & Yi, Yanping, 2015. "Is there a structural change in the persistence of WTI–Brent oil price spreads in the post-2010 period?," Economic Modelling, Elsevier, vol. 50(C), pages 64-71.
- David Greasley & Les Oxley, 2010.
"Cliometrics And Time Series Econometrics: Some Theory And Applications,"
Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 970-1042, December.
- David Grreasley, 2010. "Cliometrics and Time Series Econometrics: Some Theory and Applications," Working Papers in Economics 10/56, University of Canterbury, Department of Economics and Finance.
- Juan Carlos Cuestas & Karsten Staehr, 2015. "The Great Leveraging in the GIIPS Countries: Domestic Credit and Net Foreign Liabilities," Working Papers 2015012, The University of Sheffield, Department of Economics.
- 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.
- Robinson Kruse & Daniel Ventosa-Santaulària & Antonio E. Noriega, 2013. "Changes in persistence, spurious regressions and the Fisher hypothesis," CREATES Research Papers 2013-11, Department of Economics and Business Economics, Aarhus University.
- Juan Carlos Cuestas & Karsten Staehr, 2014. "The great (De)leveraging in the GIIPS countries. Domestic credit and net foreign liabilities 1998–2013," Bank of Estonia Working Papers wp2014-4, Bank of Estonia, revised 10 Oct 2014.
- Sidaoui José Julián & Capistrán Carlos & Chiquiar Daniel & Ramos Francia Manuel, 2009. "A Note on the Predictive Content of PPI over CPI Inflation: The Case of Mexico," Working Papers 2009-14, Banco de México.
- Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018.
"Change Detection and the Causal Impact of the Yield Curve,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
- Stan Hurn & Peter C B Phillips & Shuping Shi, 2015. "Change Detection and the Casual Impact of the Yield Curve," NCER Working Paper Series 107, National Centre for Econometric Research.
- Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi, 2016. ""Change Detection and the Causal Impact of the Yield Curve," Cowles Foundation Discussion Papers 2058, Cowles Foundation for Research in Economics, Yale University.
- Bykhovskaya, Anna & Phillips, Peter C.B., 2020.
"Point optimal testing with roots that are functionally local to unity,"
Journal of Econometrics, Elsevier, vol. 219(2), pages 231-259.
- Anna Bykhovskaya & Peter C. B. Phillips, 2017. "Point Optimal Testing with Roots That Are Functionally Local to Unity," Cowles Foundation Discussion Papers 2107, Cowles Foundation for Research in Economics, Yale University.
- Li, Yanglin & Wang, Shaoping & Zhao, Qing, 2021. "When does the stock market recover from a crisis?," Finance Research Letters, Elsevier, vol. 39(C).
- Juan carlos Cuestas & Barry Harrison, 2014. "Unemployment hysteresis in the EU15: Has anything changed?," Economics Bulletin, AccessEcon, vol. 34(4), pages 2308-2314.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2022.
"Testing for episodic predictability in stock returns,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 85-113.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2019. "Testing for Episodic Predictability in Stock Returns," Essex Finance Centre Working Papers 24137, University of Essex, Essex Business School.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2019. "Testing for Episodic Predictability in Stock Returns," Working Papers w201906, Banco de Portugal, Economics and Research Department.
- Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
- Marcos Sanso-Navarro & María Vera-Cabello, 2020. "Income Inequality and Persistence Changes," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 152(2), pages 495-511, November.
- Leone, Vitor & de Medeiros, Otavio Ribeiro, 2015. "Signalling the Dotcom bubble: A multiple changes in persistence approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 77-86.
- Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015.
"Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(4), pages 1043-1078, November.
- Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500," Working Papers 04-2013, Singapore Management University, School of Economics.
- Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500," Cowles Foundation Discussion Papers 1914, Cowles Foundation for Research in Economics, Yale University.
- Juan Carlos Cuestas & Karsten Staehr, 2017. "The Great Leveraging in the European crisis countries," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 44(6), pages 895-910, November.
- Antonio Noriega & Carlos Capistrán & Manuel Ramos-Francia, 2013.
"On the dynamics of inflation persistence around the world,"
Empirical Economics, Springer, vol. 44(3), pages 1243-1265, June.
- Noriega Antonio E. & Ramos Francia Manuel, 2009. "On the dynamics of inflation persistence around the world," Working Papers 2009-02, Banco de México.
- Juan Carlos Cuestas & Fabio Filipozzi & Karsten Staehr, 2015. "Uncovered Interest Parity in Central and Eastern Europe: Sample, Expectations and Structural Breaks," Working Papers 2015014, The University of Sheffield, Department of Economics.
- Ghoshray, Atanu & Stamatogiannis, Michalis P., 2015. "Centurial evidence of breaks in the persistence of unemployment," Economics Letters, Elsevier, vol. 129(C), pages 74-76.
- Petrenko, Victoria (Петренко, ВИктория) & Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Maria (Турунцева, Мария), 2016. "Testing of Changes in Persistence and Their Effect on the Forecasting Quality [Тестирование Изменения Инерционности И Влияние На Качество Прогнозов]," Working Papers 542, Russian Presidential Academy of National Economy and Public Administration.
- Iman Cheratian & Saleh Goltabar & Luis A. Gil-Alaña, 2023. "The unemployment hysteresis by territory, gender, and age groups in Iran," SN Business & Economics, Springer, vol. 3(2), pages 1-18, February.
- S Coleman & K Sirichand, 2015.
"Investigating Multiple Changes in Persistence in International Yields,"
Economic Issues Journal Articles, Economic Issues, vol. 20(1), pages 65-90, March.
- Simeon Coleman & Kavita Sirichand, 2014. "Investigating Multiple Changes in Persistence in International Yields," Discussion Paper Series 2014_04, Department of Economics, Loughborough University, revised Jul 2014.
- Chen, Shyh-Wei & Wu, An-Chi, 2018. "Is there a bubble component in government debt? New international evidence," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 467-486.
- Soon, Siew-Voon & Baharumshah, Ahmad Zubaidi & Mohamad Shariff, Nurul Sima, 2017. "The persistence in real interest rates: Does it solve the intertemporal consumption behavior puzzle?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 36-51.
- Khraief, Naceur & Shahbaz, Muhammad & Heshmati, Almas & Azam, Muhammad, 2020.
"Are unemployment rates in OECD countries stationary? Evidence from univariate and panel unit root tests,"
The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Khraief, Naceur & Shahbaz, Muhammad & Heshmati, Almas & Azam, Muhammad, 2015. "Are Unemployment Rates in OECD Countries Stationary? Evidence from Univariate and Panel Unit Root Tests," IZA Discussion Papers 9571, Institute of Labor Economics (IZA).
- Khraief, Naceur & Shahbaz, Muhammad & Heshmati, Almas & Azam, Muhammad, 2016. "Are Unemployment Rates in OECD Countries Stationary? Evidence from Univariate and Panel Unit Root Tests," Working Paper Series in Economics and Institutions of Innovation 435, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
- Kejriwal, Mohitosh & Perron, Pierre, 2012. "A note on estimating a structural change in persistence," Economics Letters, Elsevier, vol. 117(3), pages 932-935.
- Cuestas, Juan Carlos & Regis, Paulo José, 2018. "On the dynamics of sovereign debt in China: Sustainability and structural change," Economic Modelling, Elsevier, vol. 68(C), pages 356-359.
- Noriega Antonio E. & Ramos Francia Manuel, 2008. "A Note on the Dynamics of Persistence in US Inflation," Working Papers 2008-12, Banco de México.
- Noriega, Antonio E. & Ramos-Francia, Manuel, 2009. "The dynamics of persistence in US inflation," Economics Letters, Elsevier, vol. 105(2), pages 168-172, November.
- Fosten, Jack & Ghoshray, Atanu, 2011. "Dynamic persistence in the unemployment rate of OECD countries," Economic Modelling, Elsevier, vol. 28(3), pages 948-954, May.
- De-Chih Liu, 2023. "Unemployment persistence with an evolutionary perspective: job creation or destruction (or both)?," Evolutionary and Institutional Economics Review, Springer, vol. 20(1), pages 83-109, April.
- Atanu Ghoshray, 2013. "Dynamic Persistence of Primary Commodity Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 95(1), pages 153-164.
- Simeon Coleman Author name: Vitor Leone, 2012. "Time-series characteristics of UK commercial property returns: Testing for multiple changes in persistence," NBS Discussion Papers in Economics 2012/03, Economics, Nottingham Business School, Nottingham Trent University.
- Jorge Belaire-Franch, 2019. "A note on the evidence of inflation persistence around the world," Empirical Economics, Springer, vol. 56(5), pages 1477-1487, May.
- Si Zhang & Hao Jin & Menglin Su, 2024. "Modified Block Bootstrap Testing for Persistence Change in Infinite Variance Observations," Mathematics, MDPI, vol. 12(2), pages 1-25, January.
- Juan Carlos Cuestas & Luis A. Gil-Alana & Paolo Jose Regis, 2014. "On the changes in the sustainability of European external debt: what have we learned," Bank of Estonia Working Papers wp2014-3, Bank of Estonia, revised 10 Oct 2014.
- Chen, Zhanshou & Jin, Zi & Tian, Zheng & Qi, Peiyan, 2012. "Bootstrap testing multiple changes in persistence for a heavy-tailed sequence," Computational Statistics & Data Analysis, Elsevier, vol. 56(7), pages 2303-2316.
- Juan Carlos Cuestas & Luis A. Gil-Alana & Paulo José Regis, 2015. "The Sustainability of European External Debt: What have We Learned?," Review of International Economics, Wiley Blackwell, vol. 23(3), pages 445-468, August.