Panel stationary tests against changes in persistence
(2019) In Statistical Papers 60(4). p.1079-1100- Abstract
In this paper we propose 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 null distributions of the tests are derived and evaluated in small samples by means of Monte Carlo simulations. An empirical illustration is also provided.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/88342a89-bc5c-4010-bf7e-28fb214afad0
- author
- Cerqueti, Roy ; Costantini, Mauro ; Gutierrez, Luciano and Westerlund, Joakim LU
- organization
- publishing date
- 2019-08
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Panel data, Persistence, Stationarity
- in
- Statistical Papers
- volume
- 60
- issue
- 4
- pages
- 22 pages
- publisher
- Springer
- external identifiers
-
- scopus:85003914712
- ISSN
- 0932-5026
- DOI
- 10.1007/s00362-016-0864-6
- language
- English
- LU publication?
- yes
- id
- 88342a89-bc5c-4010-bf7e-28fb214afad0
- date added to LUP
- 2016-12-23 08:44:24
- date last changed
- 2022-04-24 20:24:08
@article{88342a89-bc5c-4010-bf7e-28fb214afad0, abstract = {{<p>In this paper we propose 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 null distributions of the tests are derived and evaluated in small samples by means of Monte Carlo simulations. An empirical illustration is also provided.</p>}}, author = {{Cerqueti, Roy and Costantini, Mauro and Gutierrez, Luciano and Westerlund, Joakim}}, issn = {{0932-5026}}, keywords = {{Panel data; Persistence; Stationarity}}, language = {{eng}}, number = {{4}}, pages = {{1079--1100}}, publisher = {{Springer}}, series = {{Statistical Papers}}, title = {{Panel stationary tests against changes in persistence}}, url = {{http://dx.doi.org/10.1007/s00362-016-0864-6}}, doi = {{10.1007/s00362-016-0864-6}}, volume = {{60}}, year = {{2019}}, }