Tests for a change in persistence against the null of difference-stationarity

Stephen Leybourne (), Tae-Hwan Kim (), L. Vanessa Smith and Paul Newbold

Econometrics Journal, 2003, vol. 6, issue 2, 291-311

Abstract: Economists have recognized the possibility that a time series may change structure from trend-stationarity to difference-stationarity, or vice versa. Taking difference-stationarity as the null hypothesis, we develop tests for this possibility, where neither the location nor direction of any possible change under the alternative hypothesis need be specified. Copyright Royal Economic Society, 2003

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:6:y:2003:i:2:p:291-311

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