Detecting multiple changes in persistence

[AlexWaddington]

Hello,

This is my first time using the site, please let me know if I do not follow the correct procedures.

Does anyone have any experience in testing for multiple changes in persistence?

I am testing daily nominal interest rate differentials for unit roots and believe that there is a structural break. I know how to test for unit roots in the presence of structural breaks but want also to test that there may be multiple changes in persistence - with series moving from I(0) to I(1) and back to I(0).

For reference I am following a paper by Leybourne, Kim and Taylor, attached, but am unsure how to carry out the analysis in EVIEWS.

Any help or guidance will be appreciated!

Alex