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date: 05 November 2024

Persistence Change and Segmented Cointegration Testinglocked

Persistence Change and Segmented Cointegration Testinglocked

  • Paulo M. M. RodriguesPaulo M. M. RodriguesEconomics and Research, Banco de Portugal

Summary

The change in persistence of a time series refers to a shift in the order of integration. Rather than displaying stationary or nonstationary behavior throughout the whole sample period, as is frequently considered in empirical work, many time series display changes in persistence over time. The analysis and impact of possible changes in persistence has been an important topic of research and has led to a large literature devoted to the development of procedures to detect such behavior. This review explores different tests designed to detect changes in the persistence and in the long-run equilibrium of time series.

Subjects

  • Econometrics, Experimental and Quantitative Methods

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