Testing of Changes in Persistence and Their Effect on the Forecasting Quality

Тестирование изменения инерционности и влияние на качество прогнозов

Petrenko, Victoria (Петренко, ВИктория), Skrobotov, Anton (Скроботов, Антон) () and Marina Turuntseva
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Petrenko, Victoria (Петренко, ВИктория): Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Skrobotov, Anton (Скроботов, Антон): Russian Presidential Academy of National Economy and Public Administration (RANEPA)

Working Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: This paper provides a review of contributions to the field of change in persistence testing. We discuss both the constant/changed persistence testing (including multiple changes in persistence testing) and methods of estimation and inference for the dates of persistence changes.

Keywords: persistence testing; methods of estimation; forecasting (search for similar items in EconPapers)
Pages: 33 pages
Date: 2016-04-08
New Economics Papers: this item is included in nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:rnp:wpaper:542

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