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| 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 distributions of the tests under the hypothesis of cross-sectional independence are derived. Cross-sectional dependence is also considered. The tests are applied to the in°ation rates of 19 OECD countries over the period 1972-2008. Evidence of a change in persistence from I(1) to I(0) is found for a set of these countries
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| Related research |
Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
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This page was last updated on 2009-12-3.