Tests for a change in persistence against the null of difference-stationarity

Economists have recognized the possibility that a time series may change structure from trend-stationarity to difference-stationarity, or vice versa. Taking difference-stationarity as the null hypothesis, we develop tests for this possibility, where neither the location nor direction of any possible change under the alternative hypothesis need be specified. Copyright Royal Economic Society, 2003

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Year of publication:	2003
Authors:	Leybourne, Stephen ; Kim, Tae-Hwan ; Smith, Vanessa ; Newbold, Paul
Published in:	Econometrics Journal. - Royal Economic Society - RES. - Vol. 6.2003, 2, p. 291-311
Publisher:	Royal Economic Society - RES

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005243391