Testing for changing persistence in US Treasury on/off spreads under weighted-symmetric estimation
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Authors
Smith, LV
Tambakis, DN
Abstract
We extend the recursive break test procedure of Leybourn et al. by using weighted-symmetric estimation to detect a single change in time series persistence. An application to U.S. Treasury bond on/off spreads finds a significant change in persistence from I(0) to I(1) in the late 1990s.
Description
Keywords
persistence, unit root test, break point, Monte Carlo simulation, US Treasury bonds, liquidity, UNIT-ROOT TESTS, TIME-SERIES, CONDITIONAL HETEROSKEDASTICITY, MONETARY-POLICY, LIQUIDITY RISK, STOCK RETURNS, MODELS, MARKET
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Publisher
Informa UK Limited