Testing for stationarity at high frequency

DOI10.1016/J.JECONOM.2019.09.004zbMATH Open1456.62197OpenAlexW2913576227MaRDI QIDQ2182131FDOQ2182131

Authors: Bibo Jiang, Ye Lu, Joon Y. Park 

Publication date: 21 May 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.09.004

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zbMATH Keywords

KPSS testcontinuous time processtesting for cointegrationhigh frequency observationtesting for stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Long-Term Memory in Stock Market Prices
• Nonparametric nonstationarity tests
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• 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?
• Size and power of tests of stationarity in highly autocorrelated time series
• Automatic Lag Selection in Covariance Matrix Estimation
• Rescaled variance and related tests for long memory in volatility and levels
• A robust version of the KPSS test based on indicators
• Donsker theorems for diffusions: necessary and sufficient conditions
• Asymptotics for recurrent diffusions with application to high frequency regression
• Estimation of longrun variance of continuous time stochastic process using discrete sample
• STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
• Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective

Cited In (1)

• Testing for jumps in noisy high frequency data

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