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Tests of stationarity against a change in persistence

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Author Info
Busetti, Fabio
Taylor, A. M. Robert

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 123 (2004)
Issue (Month): 1 (November)
Pages: 33-66
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Handle: RePEc:eee:econom:v:123:y:2004:i:1:p:33-66

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  1. Eyal Dvir & Kenneth S. Rogoff, 2009. "Three Epochs of Oil," NBER Working Papers 14927, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Sibbertsen, Philipp & Kruse, Robinson, 2007. "Testing for a break in persistence under long-range dependencies," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-381, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    Other versions:
  3. Cerqueti, Roy & Costantini, Mauro & Gutierrez, Luciano, 2007. "Change in persistence tests for panels," Economics & Statistics Discussion Papers esdp07040, University of Molise, Dept. SEGeS. [Downloadable!]
  4. Cerqueti, Roy & Costantini, Mauro & Gutierrez, Luciano, 2008. "Change in persistence tests for panels: An update and some new results," Economics & Statistics Discussion Papers esdp08043, University of Molise, Dept. SEGeS. [Downloadable!]
  5. repec:bep:sndecm:11:2007:3:1370-1370 is not listed on IDEAS
    Other versions:
  6. Robert Sollis, 2006. "Testing for bubbles: an application of tests for change in persistence," Applied Financial Economics, Taylor and Francis Journals, vol. 16(6), pages 491-498, March. [Downloadable!] (restricted)
  7. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Department of Economics, University of Glasgow. [Downloadable!]
  8. Michael Frömmel & Robinson Kruse, 2009. "Interest rate convergence in the EMS prior to European Monetary Union," CREATES Research Papers 2009-23, School of Economics and Management, University of Aarhus. [Downloadable!]
  9. Eyal Dvir & Ken Rogoff, 2009. "The Three Epochs of Oil," Boston College Working Papers in Economics 706, Boston College Department of Economics. [Downloadable!]
  10. Robert Taylor & Stephen Leybourne, 2004. "Some New Tests for a Change in Persistence," Economics Bulletin, Economics Bulletin, vol. 3(39), pages 1-10. [Downloadable!]
  11. Cheolbeom Park, 2006. "The Persistence and Predictive Power of the Dividend-Price Ratio," Departmental Working Papers wp0603, National University of Singapore, Department of Economics. [Downloadable!]
  12. Andreea Halunga & Denise Osborn & Marianne Sensier, 2007. "Changes in the order of integration of US and UK inflation," The School of Economics Discussion Paper Series 0715, Economics, The University of Manchester. [Downloadable!]
    Other versions:
  13. Robert Taylor & Stephen Leybourne & David Harvey, 2004. "Modified Tests for a Change in Persistence," Econometric Society 2004 Australasian Meetings 64, Econometric Society. [Downloadable!]
    Other versions:
  14. Serena Brianzoni & Roy Cerqueti, & Elisabetta Michetti, 2008. "A dynamic stochastic model of asset pricing with heterogeneous beliefs," Working Papers 46-2008, Macerata University, Department of Finance and Economic Sciences, revised Oct 2008. [Downloadable!]
  15. Steven Cook, 2004. "Detecting changes in persistence in linear time series," Economics Bulletin, Economics Bulletin, vol. 3(24), pages 1-11. [Downloadable!]
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This page was last updated on 2009-11-13.

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