Tests for covariance stationarity and white noise, with an application to Euro/US dollar exchange rate: An approach based on the evolutionary spectral density

DOI10.1016/S0165-1765(02)00123-4zbMATH Open1027.91036OpenAlexW1504369108MaRDI QIDQ1852901FDOQ1852901

Authors: Ibrahim Ahamada 

Publication date: 21 January 2003

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00123-4

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zbMATH Keywords

White noiseStationarityEvolutionary spectral densityP-value discrepancy plotsSize-power curves

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Title not available (Why is that?)
• Time-Dependent Spectral Analysis of Nonstationary Time Series
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• Title not available (Why is that?)
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• A wavelet-based test for stationarity
• Title not available (Why is that?)
• The Cusum Test with Ols Residuals
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Testing for covariance stationarity in stock market data

Cited In (6)

• A SPECTRAL-BASED CUSUM TEST OF EVOLUTIONARY CHANGE
• Analysis of structural break models based on the evolutionary spectrum: Monte Carlo study and application
• Title not available (Why is that?)
• Wavelet testing for a replicate-effect within an ordered multiple-trial experiment
• The local partial autocorrelation function and some applications
• Testing for covariance stationarity in stock market data

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