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.

MoreLess

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

More details

Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005110886