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

Smith, L Vanessa ; Tambakis, Demosthenes N (2010)

Working Paper

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.