Panel stationary tests against changes in persistence
Cerqueti, R., Costantini, M., Gutierrez, L. and Westerlund, J. (2019). Panel stationary tests against changes in persistence. Statistical Papers. 60 (4), pp. 1079-1100.
|Authors||Cerqueti, R., Costantini, M., Gutierrez, L. and Westerlund, J.|
In this paper we propose new panel tests to detect changes in persistence. The test statistics are used to test the null hypothesis of stationarity against the alternative of a change in persistence from I(0) to I(1), from I(1) to I(0), and in an unknown direction. The limiting null distributions of the tests are derived and evaluated in small samples by means of Monte Carlo simulations. An empirical illustration is also provided.
|Journal citation||60 (4), pp. 1079-1100|
|Publisher||Springer Science and Business Media LLC|
|Digital Object Identifier (DOI)||doi:10.1007/s00362-016-0864-6|
|Web address (URL)||https://link.springer.com/article/10.1007%2Fs00362-016-0864-6|
|Online||09 Dec 2016|
|Publication process dates|
|Deposited||28 Feb 2020|
|Accepted author manuscript|
CC BY 4.0
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