15 citations · 22 across the 6 of their papers we have counts for
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econ.EM2020★ 2 cited
Testing and Dating Structural Changes in Copula-based Dependence Measures
Florian Stark, Sven Otto
This paper is concerned with testing and dating structural breaks in the dependence structure of multivariate time series. We consider a cumulative sum (CUSUM) type test for consta…
econ.EM2020★ 5 cited
Unit Root Testing with Slowly Varying Trends
Sven Otto
A unit root test is proposed for time series with a general nonlinear deterministic trend component. It is shown that asymptotically the pooled OLS estimator of overlapping blocks…
econ.EM2020★ 15 cited
Backward CUSUM for Testing and Monitoring Structural Change with an Application to COVID-19 Pandemic Data
Sven Otto, Jörg Breitung
It is well known that the conventional cumulative sum (CUSUM) test suffers from low power and large detection delay. In order to improve the power of the test, we propose two alter…