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.
Panel stationary tests against changes in persistence / Cerqueti, Roy; Costantini, Mauro; Gutierrez, Luciano; Westerlund, Joakim. - In: STATISTICAL PAPERS. - ISSN 0932-5026. - Online first:(2016), pp. 1-22. [10.1007/s00362-016-0864-6]
Panel stationary tests against changes in persistence
CERQUETI, ROY;Costantini, Mauro;
2016
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.| File | Dimensione | Formato | |
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