Regression-based tests for a change in persistence

Oxford Bulletin of Economics and Statistics

Volumn 68, Issue 5, 2006, Pages 595-621

  Leybourne, Stephen J ^a   Kim, Tae Hwan ^a,b   Taylor, A M Robert ^a  

^a UNIVERSITY OF NOTTINGHAM   (United Kingdom)

^b Yonsei University   (South Korea)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33748772235     PISSN: 03059049     EISSN: 14680084     Source Type: Journal    
DOI: 10.1111/j.1468-0084.2006.00179.x     Document Type: Review

References (10)

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2. Beveridge, S. and Nelson, C. R. (1981). 'A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the "business cycle'". Journal of Monetary Economics, Vol. 7, pp. 151-174.
3. Busetti, F. and Taylor, A. M. R. (2004). 'Tests of stationarity against a change in persistence', Journal of Econometrics, Vol. 123, pp. 33-66.
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6. Ng, S. and Perron, P. (1995). 'Unit root tests in ARMA models with data dependent methods for the selection of the truncation lag', Journal of the American Statistical Association, Vol. 90, pp. 268-281.
7. Perron, P. (1989). 'The great crash, the oil price shock, and the unit root hypothesis', Econometrica, Vol. 57, pp. 1361-1401.
8. Pesaran, M. H. and Timmermann, A. (2005). 'Small sample properties of forecasts from autoregressive models under structural breaks', Journal of Econometrics, Vol. 129, pp. 183-217.
9. Smith, R. J. and Taylor, A. M. R. (2001). 'Recursive and rolling regression-based tests of the seasonal unit root hypothesis', Journal of Econometrics, Vol. 105, pp. 309-336.
10. Stock, J. H. and Watson, M. W. (1996). 'Evidence on structural instability in macroeconomic time series relations', Journal of Business and Economic Statistics, Vol. 14, pp. 11-30.