Tests for a change in persistence against the null of difference-stationarity
By S. Leybourne, Tae-Hwan Kim, Vanessa Smith, P. Newbold. 2003
96 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/93112ea4fbb86ae201db490ff39ec2e9082951c3
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Giuseppe Cavaliere
- Alan M. Taylor
- Robert J. Taylor
- Matei Demetrescu
- S. Leybourne
- Christoph Hanck
- M. Schularick
- David I. Harvey
In Finance
- Giuseppe Cavaliere
- Alan M. Taylor
- M. Schularick
- Hélène Rey
- Thomas Steger
- S. Leybourne
- Ò. Jordà
- Fang Xu
Citations in the corpus
- Testing for a change in persistence in the presence of non-stationary volatility☆ (2008, methodology): “We now derive the asymptotic null distributions of the tests when the variance standardization of Leybourne and Taylor (2004) is employed.”