| Title: | Testing for changing persistence in US treasury on/off spreads under weighted-symmetric estimation |
| Authors: | Smith, L Vanessa Tambakis, Demosthenes N |
| Keywords: | persistence unit root test breakpoint Monte Carlo simulation |
| Issue Date: | 2010 |
| Publisher: | CFAP, Cambridge Judge Business School, University of Cambridge |
| Citation: | JEL classifications: C15, C22 |
| Series/Report no.: | CFAP Working Paper 11 |
| 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. |
| URI: | http://www.dspace.cam.ac.uk/handle/1810/225205 |
| Appears in Collections: | CFAP Working Papers |
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