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Fluctuation Tests for a Change in Persistence


  • A. M. Robert Taylor


In this paper, we develop a set of new persistence change tests which are similar in spirit to those of Kim ["Journal of Econometrics" (2000) Vol. 95, pp. 97-116], Kim "et al." ["Journal of Econometrics" (2002) Vol. 109, pp. 389-392] and Busetti and Taylor ["Journal of Econometrics" (2004) Vol. 123, pp. 33-66]. While the exisiting tests are based on ratios of sub-sample Kwiatkowski "et al." ["Journal of Econometrics" (1992) Vol. 54, pp. 158-179]-type statistics, our proposed tests are based on the corresponding functions of sub-sample implementations of the well-known maximal recursive-estimates and re-scaled range fluctuation statistics. Our statistics are used to test the null hypothesis that a time series displays constant trend stationarity ["I"(0)] behaviour against the alternative of a change in persistence either from trend stationarity to difference stationarity ["I"(1)], or vice versa. Representations for the limiting null distributions of the new statistics are derived and both finite-sample and asymptotic critical values are provided. The consistency of the tests against persistence change processes is also demonstrated. Numerical evidence suggests that our proposed tests provide a useful complement to the extant persistence change tests. An application of the tests to US inflation rate data is provided. Copyright 2005 Blackwell Publishing Ltd.

Suggested Citation

  • A. M. Robert Taylor, 2005. "Fluctuation Tests for a Change in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 207-230, April.
  • Handle: RePEc:bla:obuest:v:67:y:2005:i:2:p:207-230

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    Cited by:

    1. repec:hin:jnljps:802975 is not listed on IDEAS
    2. Berkes, István & Hörmann, Siegfried & Horváth, Lajos, 2008. "The functional central limit theorem for a family of GARCH observations with applications," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2725-2730, November.
    3. Ventosa-Santaularària, Daniel & Gómez, Manuel, 2006. "Inflation and Breaks: the validity of the Dickey-Fuller test," MPRA Paper 58773, University Library of Munich, Germany.
    4. Mohitosh Kejriwal, 2017. "A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence," Purdue University Economics Working Papers 1303, Purdue University, Department of Economics.
    5. D. Ventosa-Santaulària, 2009. "Spurious Regression," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
    6. S Coleman & K Sirichand, 2015. "Investigating Multiple Changes in Persistence in International Yields," Economic Issues Journal Articles, Economic Issues, vol. 20(1), pages 65-90, March.
    7. Skrobotov, Anton, 2015. "Likelihood Ratio Test for Change in Persistence," Published Papers skr001, Russian Presidential Academy of National Economy and Public Administration.
    8. Uwe Hassler & Jan Scheithauer, 2008. "On Critical Values of Tests against a Change in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 705-710, October.

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