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Panel stationary tests against changes in persistence

Cerqueti, Roy; Costantini, Mauro; Gutierrez, Luciano and Westerlund, Joakim LU (2016) In Statistical Papers
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:
author
organization
publishing date
type
Contribution to journal
publication status
epub
subject
keywords
Panel data, Persistence, Stationarity
in
Statistical Papers
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
2017-01-01 08:44:21
@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},
  keyword      = {Panel data,Persistence,Stationarity},
  language     = {eng},
  month        = {12},
  pages        = {22},
  publisher    = {Springer},
  series       = {Statistical Papers},
  title        = {Panel stationary tests against changes in persistence},
  url          = {http://dx.doi.org/10.1007/s00362-016-0864-6},
  year         = {2016},
}