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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

Panel stationary tests against changes in persistence

Author

  • Roy Cerqueti
  • Mauro Costantini
  • Luciano Gutierrez
  • Joakim Westerlund

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