Further results on the detection of changes in persistence in linear time series

Recent research concerning the properties of 'change in persistence' tests in the presence of structural change is extended. It is found that the recently proposed tests of Leybourne, Kim and Taylor (2004) are subject to severe size distortion in the presence of both breaks in level and drift under the unit root null hypothesis. The present analysis suggests that any results obtained from these tests should be treated with caution to avoid drawing a spurious inference of a change in persistence.