We consider the impact of a break in the innovation volatility process on ratio-based persistence change tests. We demonstrate that the ratio statistics used do not have pivotal limiting null distributions and that the associated tests display a considerable degree of size distortion with size...

type="main" xml:id="obes12051-abs-0001" <title type="main">Abstract</title> <p>In this article, we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems characterized by heteroskedastic innovation processes. In particular, we compare the efficacy of the most widely used...</p>

We show that the minimal forward (reverse) recursive unit tests of Banerjee, Lumsdaine and Stock ["Journal of Business and Economics Statistics" (1992) Vol. 10, pp. 271-288] are consistent against the alternative of a change in persistence from "I"(0) to "I"(1) ["I"(1) to "I"(0)]. However, these...

In this paper, we develop a set of new persistence change tests which are similar in spirit to those of Kim ["Journal of Econometrics" (2000) Vol. 95, pp. 97-116], Kim "et al." ["Journal of Econometrics" (2002) Vol. 109, pp. 389-392] and Busetti and Taylor ["Journal of Econometrics" (2004) Vol....