Kurozumi, Eiji - In: Oxford Bulletin of Economics and Statistics 67 (2005) 2, pp. 181-206
In this paper, we investigate a test for structural change in the long-run persistence in a univariate time series. Our model has a unit root with no structural change under the null hypothesis, while under the alternative it changes from a unit-root process to a stationary one or vice versa. We...
