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This article proposes new bootstrap procedures for detecting multiple persistence shifts in a time series driven by non‐stationary volatility. The assumed volatility process can accommodate discrete breaks, smooth transition variation as well as trending volatility. We develop wild bootstrap sup‐Wald tests of the null hypothesis that the process is either stationary [I(0)] or has a unit root [I(1)] throughout...
We compare the asymptotic relative efficiency of the Exp, Mean, and Sup functionals of the Wald, LM and LR tests for structural change analyzed by Andrews [Andrews, D.W.K., 1993. Tests for parameter instability and structural change with unknown change point. Econometrica 61, 821–856.] and Andrews and Ploberger [Andrews, D.W.K., Ploberger, W., 1994. Optimal tests when a nuisance parameter is present...
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