文章基本信息

标题：Some New Tests for a Change in Persistence
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作者：Robert Taylor ; Stephen Leybourne
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2004
卷号：3
出版社：Economics Bulletin
摘要：In this paper we develop new persistence change tests, similar in spirit to those of Kim (2000), Kim et al. (2002) and Busetti and Taylor (2004). While the exisiting tests are based on the maximum over an appropriate sequence of ratios of sub-sample stationarity statistics, our proposed tests are based on the maximum of the sequence of the numerators of these ratios divided by the minimum of the sequence of the denominators of the ratios. The large sample properties of the tests are established, and both finite sample and asymptotic critical values are provided. Numerical evidence suggests that our proposed tests provide a useful complement to the extant tests.