Cavaliere, Giuseppe; Taylor, A.M. Robert - In: Journal of Econometrics 147 (2008) 1, pp. 84-98
In this paper we consider tests for the null of (trend-) stationarity against the alternative of a change in persistence at some (known or unknown) point in the observed sample, either from I(0) to I(1) behaviour or vice versa, of, inter alia, [Kim, J., 2000. Detection of change in persistence...