Wilcoxon rank test for change in persistence. Issue 3 (4th May 2021)

• Record Type: Journal Article
• Authors: Qin, Ruibing; Luo, Xinxin; Yang, Wei
• Is Part Of: Statistics. Volume 55:Issue 3(2021)
• Page Start: 514
• Page End: 531
• Publication Date: 2021-05-04
• Subjects: Stationarity -- unit root -- Wilcoxon rank test -- change in persistence; Mathematical statistics -- Periodicals; 519.505
• DOI: 10.1080/02331888.2021.1963964
• Languages: English
• ISSNs: 0233-1888

Abstract

Abstract : 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 Kim [Detection of change in persistence of a linear time series. J Econom. 2000;95(1):97–116], 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.