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Panel stationary tests against changes in persistence

Cerqueti, Roy, Costantini, Mauro, Gutierrez, Luciano and Westerlund, Joakim 2016, Panel stationary tests against changes in persistence, Statistical papers, In Press, pp. 1-22, doi: 10.1007/s00362-016-0864-6.

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Title Panel stationary tests against changes in persistence
Author(s) Cerqueti, Roy
Costantini, Mauro
Gutierrez, Luciano
Westerlund, Joakim
Journal name Statistical papers
Season In Press
Start page 1
End page 22
Total pages 22
Publisher Springer
Place of publication Berlin, Germany
Publication date 2016-12-09
ISSN 0932-5026
Keyword(s) Persistence
Stationarity
Panel data
Summary 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.
Language eng
DOI 10.1007/s00362-016-0864-6
Field of Research 150202 Financial Econometrics
0104 Statistics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Springer
Persistent URL http://hdl.handle.net/10536/DRO/DU:30090360

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Economics
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