TEST OF PERSISTENCE CHANGE UNDER THE INFLUENCE OF VARIANCE SHIFT.

  • College of Science, Xi?an University of Science and Technology, Xi?an, China.
  • Energy and Economic Research Center, Xi?an University of Science and Technology, Xi?an, China.
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This paper studies the test of persistence change under the circumstance that the innovations have time-varying variances. We consider processes both shifting from a stationary to a unit root and the contrary change direction, the innovations of which have time-varying variances. The statistics applied in this paper is derived by S. Leybourne, R. Taylor and T. H. Kim[2007]. The limiting distributions are given under the null hypothesizes that have only variance change but persistence change and numerical simulation shows that there are severe size distortion and the power loss cannot be ignored either.

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Jiawei Sun and Hao Jin. (2017); TEST OF PERSISTENCE CHANGE UNDER THE INFLUENCE OF VARIANCE SHIFT., Int. J. of Adv. Res., 5 (11), 795-807, ISSN 2320-5407. DOI URL: https://dx.doi.org/10.21474/IJAR01/5833

Jiawei Sun

DOI:

Article DOI: 10.21474/IJAR01/5833      
DOI URL: https://dx.doi.org/10.21474/IJAR01/5833

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