On Critical Values of Tests against a Change in Persistence*

B-Tier
Journal: Oxford Bulletin of Economics and Statistics
Year: 2008
Volume: 70
Issue: 5
Pages: 705-710

Authors (2)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Kim, Belaire‐Franch and Amador [Journal of Econometrics (2002) Vol. 109, pp. 389–392] and Busetti and Taylor [Journal of Econometrics (2004) Vol. 123, pp. 33–66] present different percentiles for the same mean score test statistic. We find that the difference by a factor 0.6 is due to systematically different sample analogues. Furthermore, we clarify which sample versions of the mean‐exponential test statistic should be correctly used with which set of critical values. At the same time, we correct some of the limiting distributions found in the literature.

Technical Details

RePEc Handle
repec:bla:obuest:v:70:y:2008:i:5:p:705-710
Journal Field
General
Author Count
2
Added to Database
2026-01-25