A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence
提出一种新方法，用于估计单变量时间序列持久性结构变化的次数，允许过程在平稳和单位根状态间切换，并通过蒙特卡洛模拟和OECD通胀率应用验证其实用性。
Abstract This paper proposes a new procedure for estimating the number of structural changes in the persistence of a univariate time series. While the extant literature primarily assumes (regime‐wise) stationarity, our framework also allows the underlying stochastic process to switch between stationary [ I (0)] and unit root regimes [ I (1)]. We develop a sequential testing approach that maintains correct asymptotic size regardless of whether the regimes are I (0) or I (1). We also propose a novel procedure for distinguishing persistence change processes from those with pure level and/or trend shifts. Monte Carlo simulations and an application to OECD inflation rates highlight the practical usefulness of the procedures.