Testing for changing persistence in US Treasury on/off spreads under weighted-symmetric estimation
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Authors
Smith, LV
Tambakis, DN
Publication Date
2008-01Journal Title
EUR J FINANC
Series
CFAP Working Paper
11
ISSN
1351-847X
Publisher
Informa UK Limited
Language
English
Type
Working Paper
Metadata
Show full item recordCitation
Smith, L., & Tambakis, D. (2008). Testing for changing persistence in US Treasury on/off spreads under weighted-symmetric estimation. EUR J FINANC https://doi.org/10.1080/13518470601025276
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.
Keywords
persistence, unit root test, breakpoint, Monte Carlo simulation
Identifiers
External DOI: https://doi.org/10.1080/13518470601025276
This record's URL: http://www.dspace.cam.ac.uk/handle/1810/225205
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