We investigate the behaviour of rolling and recursive augmented Dickey-Fuller (ADF) tests against processes which display changes in persistence. We show that the power of the tests depend crucially on the window width and warm up parameter for the rolling and recursive procedures respectively,...

In this paper, we develop a set of new persistence change tests which are similar in spirit to those of Kim [Journal of Econometrics (2000) Vol. 95, pp. 97-116], Kim et al. [Journal of Econometrics (2002) Vol. 109, pp. 389-392] and Busetti and Taylor [Journal of Econometrics (2004) Vol. 123, pp....

Many key macro-economic and financial variables are characterised by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as...