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st: Test for multiple changes in persistence


From   Vitor Leone <leofon@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Test for multiple changes in persistence
Date   Tue, 18 Oct 2011 02:41:37 -0700 (PDT)

Hello everybody,

I am wondering if any of stata users have developed a function for testing multiple changes in persistence Leybourne et al. (2007) Studies in Nonlinear Dynamics & Econometrics.

Basically the test checks a time-series for diferrent I(0) and (1) regimes.


Many Thanks,


Victor Leone


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