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.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.
Volume (Year): 3 (2004) Issue (Month): 39 () Pages: 1-10 Download reference. The following formats are available: HTML,
plain text,
BibTeX,
RIS (EndNote),
ReDIF
Handle: RePEc:ebl:ecbull:v:3:y:2004:i:39:p:1-10
Contact details of provider: Postal: Economics Bulletin, Department of Economics, 414 Calhoun Hall, Vanderbilt University, Nashville TN 37235, USA Phone: 615-322-2920 Fax: 615-343-8495 Email: Web page: http://www.economicsbulletin.com
For technical questions regarding this item, or to correct its listing, contact: (John Conley).
Find related papers by JEL classification: C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.: