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Please use this identifier to cite or link to this item: http://hdl.handle.net/2192/112

 
Title: Change in persistence tests for panels
Authors: Cerqueti, Roy
Costantini, Mauro
Gutierrez, Luciano
Keywords: Persistence
Stationarity
Panel data
Issue Date: 1-Oct-2007
Abstract: In this paper we propose a set of new panel tests to detect changes in persistence. These statistics are used to test the null hypothesis of stationarity against the alternative of a change in persistence from I(0) to I(1) or viceversa. Alternative of unknown direction is also considered. The limiting distributions of the panel tests are derived and small sample properties are investigated by Monte Carlo experiments under the hypothesis that the individual series are cross-sectionally in
...more
URI: http://hdl.handle.net/2192/112
Appears in Collections:4 - REPEC
Econpapers

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