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Wilcoxon rank test for change in persistence. (English) Zbl 1477.62227

Summary: This paper proposes a test to detect the change in persistence on the basis of the ranks of a series, then derives the asymptotic distribution of the proposed test under the null hypothesis that a series is stationary, and the consistency of the test is established under the alternative hypothesis that a series shifts from \(I(0)\) to \(I(1)\). The Monte-Carlo simulations demonstrate that the proposed test has less powers but more correct sizes in finite samples than the test proposed by J.-Y. Kim [J. Econom. 95, No. 1, 97–116 (2000; Zbl 0943.62091)], which means the test has a lower rejection rate than the Kim’s test when the series is \(I(0)\). As an illustration, we apply our test to the series of the monthly EXSDUS rate and the ISM non-manufacturing index in the United States.

MSC:

62M07 Non-Markovian processes: hypothesis testing
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P20 Applications of statistics to economics

Citations:

Zbl 0943.62091
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References:

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