Detecting changes in persistence in linear time series

The properties of the 'change in persistence'' tests developed by Leybourne et al. (2003) are considered in the presence of structural change under the null. Interestingly, it is found that while breaks in drift result in undersizing, breaks in level lead to severe oversizing. The implications of these findings for both empirical research and the development of an alternative approach to the testing of a change in persistence are noted.

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Year of publication:	2004-07-11
Authors:	Cook, Steven
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2004, 24, p. 1-11
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Classification:	C4 - Econometric and Statistical Methods: Special Topics ; C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011208228