On Critical Values of Tests against a Change in Persistence*

Uwe Hassler and Jan Scheithauer

Oxford Bulletin of Economics and Statistics, 2008, vol. 70, issue 5, 705-710

Abstract: Kim, Belaire‐Franch and Amador [Journal of Econometrics (2002) Vol. 109, pp. 389–392] and Busetti and Taylor [Journal of Econometrics (2004) Vol. 123, pp. 33–66] present different percentiles for the same mean score test statistic. We find that the difference by a factor 0.6 is due to systematically different sample analogues. Furthermore, we clarify which sample versions of the mean‐exponential test statistic should be correctly used with which set of critical values. At the same time, we correct some of the limiting distributions found in the literature.

Date: 2008
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