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

  • Eiji Kurozumi

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. Copyright 2005 Blackwell Publishing Ltd.

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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 67 (2005)
Issue (Month): 2 (04)
Pages: 181-206

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Handle: RePEc:bla:obuest:v:67:y:2005:i:2:p:181-206
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