In this paper we propose a set of new panel tests to detect changes in persistence. The test statistics are used to test the null hypothesis of stationarity against the alternative of a change in persistence from I(0) to I(1), from I(1) to I(0) and in an unknown direction. The limiting...

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...

<font face="CMR9" size="1"><font face="CMR9" size="1">In this paper we propose new panel tests to detect changes in persistence. The test statisticsare used to test the null hypothesis of stationarity against the alternative of a change inpersistence from I(0) to I(1), from I(1) to I(0), and in an unknown direction. The limitingdistributions of the...</font></font>