Panel stationary tests against changes in persistence

Roy Cerqueti, Mauro Costantini, Luciano Gutierrez, Joakim Westerlund

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish
Pages (from-to)1079-1100
Number of pages22
JournalStatistical Papers
Issue number4
Early online date2016 Dec 9
Publication statusPublished - 2019 Aug

Subject classification (UKÄ)

  • Probability Theory and Statistics

Free keywords

  • Panel data
  • Persistence
  • Stationarity


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