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

Stephen Leybourne; Tae-Hwan Kim; L. Vanessa Smith; Paul Newbold

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

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

Economics

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	290-310
Journal	Econometrics Journal
Volume	6
Publication status	Published - 2003

Access to Document

http://www.feweb.vu.nl/econometriclinks/journal/volume6/LeybourneKimSmithNewbold/ectjLeybourne.pdf

Cite this

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title = "Tests for a change in persistence against the null of difference-stationarity",

abstract = "Economists have recognized the possibility that a time series may changestructure 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.",

author = "Stephen Leybourne and Tae-Hwan Kim and Smith, {L. Vanessa} and Paul Newbold",

year = "2003",

language = "English",

volume = "6",

pages = "290--310",

journal = "Econometrics Journal",

issn = "1368-4221",

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T1 - Tests for a change in persistence against the null of difference-stationarity

AU - Leybourne, Stephen

AU - Kim, Tae-Hwan

AU - Smith, L. Vanessa

AU - Newbold, Paul

PY - 2003

Y1 - 2003

N2 - Economists have recognized the possibility that a time series may changestructure 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.

AB - Economists have recognized the possibility that a time series may changestructure 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.

M3 - Article

SN - 1368-4221

VL - 6

SP - 290

EP - 310

JO - Econometrics Journal

JF - Econometrics Journal

ER -