Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
Panel stationary tests against changes in persistence
Author
Summary, in English
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.
Department/s
- Department of Economics
Publishing year
2019-08
Language
English
Pages
1079-1100
Publication/Series
Statistical Papers
Volume
60
Issue
4
Document type
Journal article
Publisher
Springer
Topic
- Probability Theory and Statistics
Keywords
- Panel data
- Persistence
- Stationarity
Status
Published
ISBN/ISSN/Other
- ISSN: 0932-5026