Panel stationary tests against changes in persistence

Roy Cerqueti; Mauro Costantini; Luciano Gutierrez; Joakim Westerlund

doi:10.1007/s00362-016-0864-6

Panel stationary tests against changes in persistence

Roy Cerqueti, Mauro Costantini, Luciano Gutierrez, Joakim Westerlund

Department of Economics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	1079-1100
Number of pages	22
Journal	Statistical Papers
Volume	60
Issue number	4
Early online date	2016 Dec 9
DOIs	https://doi.org/10.1007/s00362-016-0864-6
Publication status	Published - 2019 Aug

Subject classification (UKÄ)

Probability Theory and Statistics

Free keywords

Panel data
Persistence
Stationarity

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10.1007/s00362-016-0864-6Licence: CC BY

Cite this

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title = "Panel stationary tests against changes in persistence",

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.",

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N2 - 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.

AB - 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.

KW - Panel data

KW - Persistence

KW - Stationarity

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JO - Statistical Papers

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Panel stationary tests against changes in persistence

Abstract

Subject classification (UKÄ)

Free keywords

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