Likelihood ratio test for change in persistence

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Likelihood ratio test for change in persistence. / Skrobotov, Anton.

In: Communications in Statistics - Theory and Methods, 18.05.2022.

Research output: Contribution to journal › Article › peer-review

Author

Skrobotov, Anton. / Likelihood ratio test for change in persistence. In: Communications in Statistics - Theory and Methods. 2022.

BibTeX

@article{6d3d069039e541ec837d99d293355426,

title = "Likelihood ratio test for change in persistence",

abstract = "In this paper, we propose a likelihood ratio test for a change in persistence of a time series. We consider the null hypothesis of a constant persistence I(1) and an alternative in which the series changes from a stationary regime to a unit root regime or vice versa. Both known and unknown break dates are analyzed. Moreover, we consider a modification of a lag length selection procedure which provides better size control over various data generation processes. The bootstrap with recoloring also improves size. In general, our likelihood ratio-based tests show the best finite sample properties from all persistence change tests that use the null hypothesis of a unit root throughout.",

keywords = "bootstrap, C12, C22, change in persistence, lag length selection, likelihood ratio test, recoloring, unit root test",

author = "Anton Skrobotov",

note = "Publisher Copyright: {\textcopyright} 2022 Taylor & Francis Group, LLC.",

year = "2022",

month = may,

day = "18",

doi = "10.1080/03610926.2022.2055070",

language = "English",

journal = "Communications in Statistics - Theory and Methods",

issn = "0361-0926",

publisher = "Taylor & Francis",

}

RIS

TY - JOUR

T1 - Likelihood ratio test for change in persistence

AU - Skrobotov, Anton

PY - 2022/5/18

Y1 - 2022/5/18

N2 - In this paper, we propose a likelihood ratio test for a change in persistence of a time series. We consider the null hypothesis of a constant persistence I(1) and an alternative in which the series changes from a stationary regime to a unit root regime or vice versa. Both known and unknown break dates are analyzed. Moreover, we consider a modification of a lag length selection procedure which provides better size control over various data generation processes. The bootstrap with recoloring also improves size. In general, our likelihood ratio-based tests show the best finite sample properties from all persistence change tests that use the null hypothesis of a unit root throughout.

AB - In this paper, we propose a likelihood ratio test for a change in persistence of a time series. We consider the null hypothesis of a constant persistence I(1) and an alternative in which the series changes from a stationary regime to a unit root regime or vice versa. Both known and unknown break dates are analyzed. Moreover, we consider a modification of a lag length selection procedure which provides better size control over various data generation processes. The bootstrap with recoloring also improves size. In general, our likelihood ratio-based tests show the best finite sample properties from all persistence change tests that use the null hypothesis of a unit root throughout.

KW - bootstrap

KW - C12

KW - C22

KW - change in persistence

KW - lag length selection

KW - likelihood ratio test

KW - recoloring

KW - unit root test

UR - http://www.scopus.com/inward/record.url?scp=85131057276&partnerID=8YFLogxK

UR - https://www.mendeley.com/catalogue/c976a8f1-8f27-3efb-b8fd-383ba670d426/

U2 - 10.1080/03610926.2022.2055070

DO - 10.1080/03610926.2022.2055070

M3 - Article

AN - SCOPUS:85131057276

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

SN - 0361-0926

ER -

ID: 98736409