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Nonparametric nonstationarity tests
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Bandi, Federico M. and Corradi, Valentina (2014) Nonparametric nonstationarity tests. Econometric Theory, Volume 30 (Number 3). pp. 127-149. doi:10.1017/S0266466613000145 ISSN 0266-4666.
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Official URL: http://dx.doi.org/10.1017/S0266466613000145
Abstract
We propose additive functional-based nonstationarity tests that exploit the different divergence rates of the occupation times of a (possibly nonlinear) process under the null of nonstationarity (stationarity) versus the alternative of stationarity (nonstationarity). We consider both discrete-time series and continuous-time processes. The discrete-time case covers Harris recurrent Markov chains and integrated processes. The continuous-time case focuses on Harris recurrent diffusion processes. Notwithstanding finite-sample adjustments discussed in the paper, the proposed tests are simple to implement and rely on tabulated critical values. Simulations show that their size and power properties are satisfactory. Our robustness to nonlinear dynamics provides a solution to the typical inconsistency problem between assumed linearity of a time series for the purpose of nonstationarity testing and subsequent nonlinear inference.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Social Sciences > Economics | ||||
Journal or Publication Title: | Econometric Theory | ||||
Publisher: | Cambridge University Press | ||||
ISSN: | 0266-4666 | ||||
Official Date: | February 2014 | ||||
Dates: |
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Volume: | Volume 30 | ||||
Number: | Number 3 | ||||
Page Range: | pp. 127-149 | ||||
DOI: | 10.1017/S0266466613000145 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Description: | Cambridge First View |
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