Change in persistence tests for panels: An update and some new results
In this paper we propose a set of 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 panel tests are derived, and small sample properties are investigated by Monte Carlo experiments under the hypothesis that the individual series are independently cross-section distributed. These tests have a good size and power properties. Cross-sectional dependence is also considered. A procedure of de-factorizing, proposed by Stock and Watson (2002), is applied. The defactored panel tests have good size and power. The empirical results obtained from applying these tests to a panel covering 21 OECD countries observed between 1970 and 2007 suggest that inflation rate changes from I(1) to I(0) when cross-correlation is considered.
|Date of creation:||31 Mar 2008|
|Date of revision:|
|Contact details of provider:|| Postal: Via De Sanctis, 86100 Campobasso|
Web page: http://www.unimol.it
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kim, Jae-Young, 2000. "Detection of change in persistence of a linear time series," Journal of Econometrics, Elsevier, vol. 95(1), pages 97-116, March.
- Jushan Bai & Serena Ng, 2000.
"Determining the Number of Factors in Approximate Factor Models,"
Boston College Working Papers in Economics
440, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
- N. Gregory Mankiw & Jeffrey A. Miron & David N. Weil, 1987.
"The Adjustment of Expectations to a Change in Regime: A Study of the Founding of the Federal Reserve,"
NBER Working Papers
2124, National Bureau of Economic Research, Inc.
- Mankiw, N Gregory & Miron, Jeffrey A & Weil, David N, 1987. "The Adjustment of Expectations to a Change in Regime: A Study of the Founding of the Federal Reserve," American Economic Review, American Economic Association, vol. 77(3), pages 358-74, June.
- Peter C.B. Phillips, 1985.
"Time Series Regression with a Unit Root,"
Cowles Foundation Discussion Papers
740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- Timothy Cogley & Thomas Sargent, .
"Evolving Post-World War II U.S. Inflation Dynamics,"
2132872, Department of Economics, W. P. Carey School of Business, Arizona State University.
- Timothy Cogley & Thomas J. Sargent, 2002. "Evolving Post-World War II U.S. Inflation Dynamics," NBER Chapters, in: NBER Macroeconomics Annual 2001, Volume 16, pages 331-388 National Bureau of Economic Research, Inc.
- Busetti, Fabio & Taylor, A. M. Robert, 2004. "Tests of stationarity against a change in persistence," Journal of Econometrics, Elsevier, vol. 123(1), pages 33-66, November.
- Stephen Leybourne & Tae-Hwan Kim & Vanessa Smith & Paul Newbold, 2003. "Tests for a change in persistence against the null of difference-stationarity," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 291-311, December.
- A. M. Robert Taylor, 2005. "On the use of Sub-sample Unit Root Tests to Detect Changes in Persistence," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 759-778, 09.
- Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2006.
"Modified tests for a change in persistence,"
Journal of Econometrics,
Elsevier, vol. 134(2), pages 441-469, October.
When requesting a correction, please mention this item's handle: RePEc:mol:ecsdps:esdp08043. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudio Lupi)
If references are entirely missing, you can add them using this form.