Detecting multiple changes in persistence
Posted: Wed Aug 05, 2015 2:22 pm
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
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