Tests For A Change In Persistence Against The Null Of Difference-Stationarity  

Oleh:

Leybourne, Stephen ; Newbold, Paul ; Smith, Vanessa ; Tae-Hwan, Kim

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 6 no. 2 (Dec. 2003), page 291–311.
Topik: Persistence; Structural break; Unit root tests
Fulltext: 291.pdf (124.36KB)

Isi artikel

Economists have recognized the possibility that a time series may change structure from trend-stationarity to difference-stationarity, or vice versa. Taking differencestationarity 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.

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