Modified tests for a change in persistence-Reference-Cited by-同舟云学术

Modified tests for a change in persistence

Published:2006-10 Issue:2 Volume:134 Page:441-469
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Harvey David I.,Leybourne Stephen J.,Taylor A.M. Robert

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference19 articles.

1. The Phillips curve, the persistence of inflation and the Lucas critique: evidence from exchange-rate dynamics;Alogoskoufis;American Economic Review,1991

2. Tests for parameter instability and structural change with unknown change point;Andrews;Econometrica,1993

3. Optimal tests when a nuisance parameter is present only under the alternative;Andrews;Econometrica,1994

4. Recursive and sequential tests of the unit root and trend break hypotheses: theory and international evidence;Banerjee;Journal of Business and Economics Statistics,1992

5. Tests of stationarity against a change in persistence;Busetti;Journal of Econometrics,2004

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