Detection of Structural Change in the Long‐run Persistence in a Univariate Time Series*
提出一种检验单变量时间序列长期持久性是否发生结构变化的方法，在原假设为无结构变化的单位根过程下，备择假设为从单位根变为平稳或反之，并比较了不同检验版本的有限样本性质。
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.