Hidalgo, Javier and Souza, Pedro C. L. (2019) A test for weak stationarity in the spectral domain. Econometric Theory, 35 (3). pp. 547-600. doi:10.1017/S0266466618000191 ISSN 0266-4666.

Preview

PDF WRAP-test-weak-stationarity-spectral-domain-Souza-2018.pdf - Accepted Version - Requires a PDF viewer. Download (940Kb) | Preview

Request Changes to record.

Abstract

We examine a test for weak stationarity against alternatives that covers both local-stationarity and break point models. A key feature of the test is that its asymptotic distribution is a functional of the standard Brownian bridge sheet in [0,1]2, so that it does not depend on any unknown quantity. The test has nontrivial power against local alternatives converging to the null hypothesis at a T−1/2 rate, where T is the sample size. We also examine an easy-to-implement bootstrap analogue and present the finite sample performance in a Monte Carlo experiment. Finally, we implement the methodology to assess the stability of inflation dynamics in the United States and on a set of neuroscience tremor data.

Item Type:	Journal Article
Subjects:	H Social Sciences > HB Economic Theory Q Science > QA Mathematics
Divisions:	Faculty of Social Sciences > Economics
Library of Congress Subject Headings (LCSH):	Time-series analysis, Asymptotic distribution (Probability theory)
Journal or Publication Title:	Econometric Theory
Publisher:	Cambridge University Press
ISSN:	0266-4666
Official Date:	June 2019
Dates:	Date Event June 2019 Published 20 July 2018 Available 13 July 2018 Accepted
Volume:	35
Number:	3
Page Range:	pp. 547-600
DOI:	10.1017/S0266466618000191
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
Date of first compliant deposit:	26 November 2018
Date of first compliant Open Access:	26 November 2018

Request changes or add full text files to a record

Repository staff actions (login required)

View Item

Downloads