Persistence Change and Segmented Cointegration Testing
Persistence Change and Segmented Cointegration Testing
- 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.
Keywords
Subjects
- Econometrics, Experimental and Quantitative Methods