Panel stationary tests against changes in persistence

Roy Cerqueti, Mauro Costantini, Luciano Gutierrez and Joakim Westerlund

Statistical Papers, 2019, vol. 60, issue 4, No 4, 1079-1100

Abstract: Abstract In this paper we propose 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 null distributions of the tests are derived and evaluated in small samples by means of Monte Carlo simulations. An empirical illustration is also provided.

Keywords: Persistence; Stationarity; Panel data (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s00362-016-0864-6

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