Cerqueti, Roy; Costantini, Mauro; Gutierrez, Luciano - Dipartimento di Economia, Gestione, Società e … - 2007
In this paper we propose a set of new panel tests to detect changes in persistence. These statistics are used to test the null hypothesis of stationarity against the alternative of a change in persistence from I(0) to I(1) or viceversa. Alternative of unknown direction is also considered. The...