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Nonparametric nonstationarity tests

Bandi, FM and Corradi, V (2014) Nonparametric nonstationarity tests Econometric Theory, 30 (1). pp. 127-149.

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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. Copyright © Cambridge University Press 2013 A ̂.

Item Type: Article
Authors :
NameEmailORCID
Bandi, FMUNSPECIFIEDUNSPECIFIED
Corradi, Vv.corradi@surrey.ac.ukUNSPECIFIED
Date : 1 January 2014
Identification Number : 10.1017/S0266466613000145
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:29
Last Modified : 17 May 2017 14:35
URI: http://epubs.surrey.ac.uk/id/eprint/820002

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