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Detection of Structural Change in the Long‐run Persistence in a Univariate Time Series

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  • Eiji Kurozumi

Abstract

In this paper, we investigate a test for structural change in the long‐run persistence in a univariate time series. Our model has a unit root with no structural change under the null hypothesis, while under the alternative it changes from a unit‐root process to a stationary one or vice versa. We propose a Lagrange multiplier‐type test, a test with the quasi‐differencing method, and ‘demeaned versions’ of these tests. We find that the demeaned versions of these tests have better finite‐sample properties, although they are not necessarily superior in asymptotics to the other tests.

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  • Eiji Kurozumi, 2005. "Detection of Structural Change in the Long‐run Persistence in a Univariate Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 181-206, April.
    • Handle: RePEc:bla:obuest:v:67:y:2005:i:2:p:181-206
    DOI: 10.1111/j.1468-0084.2004.00116.x
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    References listed on IDEAS

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    1. Mohitosh Kejriwal, 2020. "A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(3), pages 669-685, June.
    2. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Business School - Economics, University of Glasgow.
    3. repec:ebl:ecbull:v:3:y:2007:i:2:p:1-10 is not listed on IDEAS
    4. Bykhovskaya, Anna & Phillips, Peter C.B., 2020. "Point optimal testing with roots that are functionally local to unity," Journal of Econometrics, Elsevier, vol. 219(2), pages 231-259.
    5. Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2019. "Unemployment rate hysteresis and the great recession: exploring the metropolitan evidence," Empirical Economics, Springer, vol. 56(1), pages 61-79, January.
    6. Marcos Sanso-Navarro & María Vera-Cabello, 2020. "Income Inequality and Persistence Changes," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 152(2), pages 495-511, November.
    7. Antonio Noriega & Carlos Capistrán & Manuel Ramos-Francia, 2013. "On the dynamics of inflation persistence around the world," Empirical Economics, Springer, vol. 44(3), pages 1243-1265, June.
    8. Petrenko, Victoria (Петренко, ВИктория) & Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Maria (Турунцева, Мария), 2016. "Testing of Changes in Persistence and Their Effect on the Forecasting Quality [Тестирование Изменения Инерционности И Влияние На Качество Прогнозов]," Working Papers 542, Russian Presidential Academy of National Economy and Public Administration.
    9. Jorge Belaire-Franch, 2019. "A note on the evidence of inflation persistence around the world," Empirical Economics, Springer, vol. 56(5), pages 1477-1487, May.
    10. Kruse Robinson & Ventosa-Santaulària Daniel & Noriega Antonio E., 2017. "Changes in persistence, spurious regressions and the Fisher hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-28, June.
    11. Terence Tai-Leung Chong & Guoxin Liu & Isabel Kit-Ming Yan, 2007. "Habit Formation: Deep and Uncertain," Economics Bulletin, AccessEcon, vol. 3(2), pages 1-10.

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