Stochastic Permanent Breaks
Bibliographic Data
| ID | 19314798 |
|---|---|
| Authors | Robert F Engle (0009-0009-9491-1510, University of California San Diego), Aaron Smith (0000-0001-5768-6304, University of California San Diego), Aaron D Smith |
| Year | 1999 |
| Volume | 81 |
| Issue | 4 |
| Pages | 553-574 |
| Publication date | 1999-11-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | The Review of Economics and Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0034-6535 • E-ISSN: 1530-9142 |
| Publisher | MIT Press - Journals (PUBLISHER) |
| DOI | 10.1162/003465399558382 |
| OpenAlex | W2016859137 |
| Language | EN |
| Citations received | 10 |
| References cited | 24 |
This paper bridges the gap between processes where shocks are permanent and those with transitory shocks by formulating a process in which the long-run impact of each innovation is time-varying and stochastic. In the stochastic permanent breaks (STOPBREAK) process, frequent transitory shocks are supplemented by occasional permanent shifts. Consistency and asymptotic normality of quasi-maximum-likelihood estimates is established, and locally best hypothesis tests of the null of a random walk are developed. The model is applied to relative prices of pairs of stocks and significant test statistics result
Asymptotic distribution · Consistency (knowledge bases) · Econometrics · Economics · Estimator · Normality · Null (SQL) · Null hypothesis · Random walk · Statistical hypothesis testing · Statistics · Stochastic process · Capital Investment and Risk Analysis · Computer Science · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
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Level Shifts and the Illusion of Long Memory in Economic Time Series
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Treating Time with All Due Seriousness
Asymptotic theory for econometricians
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
Developments in the Study of Cointegrated Economic Variables
Tests for Parameter Instability and Structural Change With Unknown Change Point
Tests of Equality Between Sets of Coefficients in Two Linear Regressions
Tests for Parameter Instability in Regressions with 1(1) Processes
Tests for Parameter Instability in Regressions with I(1) Processes
| Citations per year | 0.45 |
|---|---|
| Citation span | 2004 - 2019 (16) |
| Highly cited | No |