All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Robert Taylor and Stephen Leybourne
 
''Some New Tests for a Change in Persistence''
( 2004, Vol. 3 No.39 )
 
 
In this paper we develop new persistence change tests, similar in spirit to those of Kim (2000), Kim et al. (2002) and Busetti and Taylor (2004). While the exisiting tests are based on the maximum over an appropriate sequence of ratios of sub-sample stationarity statistics, our proposed tests are based on the maximum of the sequence of the numerators of these ratios divided by the minimum of the sequence of the denominators of the ratios. The large sample properties of the tests are established, and both finite sample and asymptotic critical values are provided. Numerical evidence suggests that our proposed tests provide a useful complement to the extant tests.
 
 
Keywords:
JEL: C2 - Single Equation Models; Single Variables: General
 
Manuscript Received : Jul 20 2004 Manuscript Accepted : Oct 13 2004

  This abstract has been downloaded 610 times                The Full PDF of this paper has been downloaded 87693 times