| dc.creator | Smith, L Vanessa | |
| dc.creator | Tambakis, Demosthenes N | |
| dc.date.accessioned | 2018-11-24T13:10:42Z | |
| dc.date.available | 2010-05-28T11:56:22Z | |
| dc.date.available | 2018-11-24T13:10:42Z | |
| dc.date.issued | 2010 | |
| dc.identifier | http://www.dspace.cam.ac.uk/handle/1810/225205 | |
| dc.identifier.uri | http://repository.aust.edu.ng/xmlui/handle/123456789/2820 | |
| dc.description.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. | |
| dc.language | en | |
| dc.publisher | CFAP, Cambridge Judge Business School, University of Cambridge | |
| dc.subject | persistence | |
| dc.subject | unit root test | |
| dc.subject | breakpoint | |
| dc.subject | Monte Carlo simulation | |
| dc.title | Testing for changing persistence in US treasury on/off spreads under weighted-symmetric estimation | |
| dc.type | Working Paper | |
