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Sign tests for unit root and change in persistence

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  • Marilena Furno

Abstract

The behaviour of unit root tests defined in terms of sign transform is here analysed. The sign transform allows us to gain robustness to non-normality. Contrarily to the standard unit root tests, our results show that these tests are very reliable in the presence of breaks, provided there is no change in the persistence of a series. In case of change in persistence, the paper proposes to compare sign-based test functions separately computed before and after the change point. A statistically significant difference would signal the presence of change in persistence. An example and a Monte Carlo study conclude the analysis.

Suggested Citation

  • Marilena Furno, 2014. "Sign tests for unit root and change in persistence," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 4(3/4), pages 269-287.
    • Handle: RePEc:ids:ijcome:v:4:y:2014:i:3/4:p:269-287
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    Cited by:

    1. Petrenko, Victoria (Петренко, ВИктория) & Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Maria (Турунцева, Мария), 2016. "Testing of Changes in Persistence and Their Effect on the Forecasting Quality [Тестирование Изменения Инерционности И Влияние На Качество Прогнозов]," Working Papers 542, Russian Presidential Academy of National Economy and Public Administration.

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