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Panel stationary tests against changes in persistence

Author

Listed:
  • Roy Cerqueti

    (University of Macerata)

  • Mauro Costantini

    (Brunel University)

  • Luciano Gutierrez

    (University of Sassari)

  • Joakim Westerlund

    (Lund University
    Deakin University)

Abstract

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.

Suggested Citation

  • Roy Cerqueti & Mauro Costantini & Luciano Gutierrez & Joakim Westerlund, 2019. "Panel stationary tests against changes in persistence," Statistical Papers, Springer, vol. 60(4), pages 1079-1100, August.
    • Handle: RePEc:spr:stpapr:v:60:y:2019:i:4:d:10.1007_s00362-016-0864-6
    DOI: 10.1007/s00362-016-0864-6
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    References listed on IDEAS

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    More about this item

    Keywords

    Persistence; Stationarity; Panel data;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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