Panel stationary tests against changes in persistence

Roy Cerqueti

doi:10.1007/s00362-016-0864-6

Panel stationary tests against changes in persistence

Roy Cerqueti

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	1079-1100
Journal	Statistical Papers
DOIs	https://doi.org/10.1007/s00362-016-0864-6
Publication status	Published - Aug 2019
Externally published	Yes

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title = "Panel stationary tests against changes in persistence",

abstract = "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.",

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AB - 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.

U2 - 10.1007/s00362-016-0864-6

DO - 10.1007/s00362-016-0864-6

M3 - Article

SN - 0932-5026

SP - 1079

EP - 1100

JO - Statistical Papers

JF - Statistical Papers

ER -

Panel stationary tests against changes in persistence

Abstract

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