Simple panel unit root tests to detect changes in persistence

DOI10.1016/J.ECONLET.2007.02.014zbMATH Open1255.62240OpenAlexW2053944218MaRDI QIDQ1934136FDOQ1934136

Authors: Luciano Gutierrez, Mauro Costantini 

Publication date: 28 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.02.014

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zbMATH Keywords

panel datastructural breaksunit root tests

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Tests for a change in persistence against the null of difference‐stationarity
• Using panel data to increase the power of modified unit root tests in the presence of structural breaks
• On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence

Cited In (2)

• The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests
• Panel stationary tests against changes in persistence

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