Detection of Structural Change in the Long‐run Persistence in a Univariate Time Series*
Year: 2005
Type: article
Abstract: In this paper, we investigate a test for structural change in the long‐run persistence in a univariate time series. Our model has a unit root with no structural change under the null hypothesis, while under the alternative it changes from a unit‐root process to a stationary one or vice versa. We propose a Lagrange multiplier‐type test, a test with the quasi‐differencing method, and ‘demeaned versions’ of these tests. We find that the demeaned versions of these tests have better finite‐sample properties, although they are not necessarily superior in asymptotics to the other tests.
Author: Eiji Kurozumi
Institution: Hitotsubashi University
Language: English
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2117077590