This paper proposes a consistent model speci?cation test that can be applied to a wide class of models and estimators, including all variants of quasi-maximum likelihood and generalized method of moments. Our framework is independent of the form of the model and generalizes Bierens?(1982, 1990)...

We study estimation of the date of change in persistence, from I(0) to I(1) or vice versa. Contrary to statements in the original papers, our analytical results establish that the ratio-based break point estimators of Kim [Kim, J.Y., 2000. Detection of change in persistence of a linear time...

Employing the modified tests of Harvey, Leybourne and Taylor [Harvey, D.I., Leybourne, S.J. and Taylor, A.M.R., 2006. Modified tests for a change in persistence. Journal of Econometrics 134, 441-469.] for a single change in persistence and repartitioning the sample when a break is found, this...