Testing for changing persistence in US Treasury on/off spreads under weighted-symmetric estimation

Smith, LV; Tambakis, DN

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Authors

Smith, LV

Tambakis, DN

Publication Date

2008-01

Journal Title

EUR J FINANC

Series

CFAP Working Paper

ISSN

1351-847X

Publisher

Informa UK Limited

Language

English

Type

Working Paper

Metadata

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Citation

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

Rights

Licence URL: https://www.rioxx.net/licenses/all-rights-reserved/