EconPapers    
Economics at your fingertips  
 

Likelihood Ratio Test for Change in Persistence

Anton Skrobotov ()

Published Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: In this paper we propose a likelihood ratio test for a change in persistence of a time series. We consider the null hypothesis of a constant persistence I(1) and an alternative in which the series changes from a stationary regime to a unit root regime and vice versa. Both known and unknown break dates are analyzed. Moreover, we consider a modication of a lag length selection procedure which provides better size control over various data generation processes. In general, our likelihood ratio-based tests show the best nite sample properties from all persistence change tests that use the null hypothesis of a unit root throughout.

Keywords: change in persistence; likelihood ratio test; unit root test; lag length selection (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2015-01-28
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
ftp://w82.ranepa.ru/rnp/ppaper/skr001.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rnp:ppaper:skr001

Access Statistics for this paper

More papers in Published Papers from Russian Presidential Academy of National Economy and Public Administration Contact information at EDIRC.
Bibliographic data for series maintained by RANEPA maintainer ().

 
Page updated 2021-02-22
Handle: RePEc:rnp:ppaper:skr001