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Please use this identifier to cite or link to this item: http://hdl.handle.net/2192/115

 
Title: Change in persistence tests for panels: An update and some new results
Authors: Cerqueti, Roy
Costantini, Mauro
Gutierrez, Luciano
Keywords: Persistence
Stationarity
Panel data
Issue Date: 31-Mar-2008
Abstract: In this paper we propose a set of 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 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 independently cross-section distribut
...more
URI: http://hdl.handle.net/2192/115
Appears in Collections:4 - REPEC
Econpapers

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