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

Costantini M.;
2019-01-01

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 in questo prodotto:
File Dimensione Formato  
Cerqueti_Costantini_Gutierrez_Westerlund_Statistical_Papers_2019.pdf

accesso aperto

Tipologia: Documento in Versione Editoriale
Licenza: Creative commons
Dimensione 433.97 kB
Formato Adobe PDF
433.97 kB Adobe PDF Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/144246
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 1
  • ???jsp.display-item.citation.isi??? 1
social impact