Testing for a Change in Persistence in the Presence of a Volatility Shift*
发现，当创新波动率存在结构性突变时，基于比率统计量的持久性变化检验会出现严重的尺寸扭曲，甚至失效；提出用野自助法解决这一推断问题，并在实践中表现良好。
Abstract We consider the impact of a break in the innovation volatility process on ratio‐based persistence change tests. We demonstrate that the ratio statistics used do not have pivotal limiting null distributions and that the associated tests display a considerable degree of size distortion with size approaching unity in some cases. In practice, therefore, on the basis of these tests the practitioner will face difficulty in discriminating between persistence change processes and processes which display a simple volatility break. A wild bootstrap‐based solution to the identified inference problem is proposed and is shown to work well in practice.