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Further results on the detection of changes in persistence in linear time series

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  • Steven Cook

Abstract

Recent research concerning the properties of 'change in persistence' tests in the presence of structural change is extended. It is found that the recently proposed tests of Leybourne, Kim and Taylor (2004) are subject to severe size distortion in the presence of both breaks in level and drift under the unit root null hypothesis. The present analysis suggests that any results obtained from these tests should be treated with caution to avoid drawing a spurious inference of a change in persistence.

Suggested Citation

  • Steven Cook, 2007. "Further results on the detection of changes in persistence in linear time series," Applied Economics Letters, Taylor & Francis Journals, vol. 14(2), pages 145-150.
    • Handle: RePEc:taf:apeclt:v:14:y:2007:i:2:p:145-150
    DOI: 10.1080/13504850500426053
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    References listed on IDEAS

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    1. K. Patterson & Saeed Heravi, 2003. "Weighted symmetric tests for a unit root: response functions, power, test dependence and test conflict," Applied Economics, Taylor & Francis Journals, vol. 35(7), pages 779-790.
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    5. Steven Cook, 2005. "Rank-based unit root testing in the presence of structural change under the null: simulation results and an application to US inflation," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 607-617.
    6. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-287, July.
    7. Steven Cook & Neil Manning, 2003. "The power of asymmetric unit root tests under threshold and consistent-threshold estimation," Applied Economics, Taylor & Francis Journals, vol. 35(14), pages 1543-1550.
    8. Leybourne, Stephen J. & C. Mills, Terence & Newbold, Paul, 1998. "Spurious rejections by Dickey-Fuller tests in the presence of a break under the null," Journal of Econometrics, Elsevier, vol. 87(1), pages 191-203, August.
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