A Test for Strict Stationarity

DOI10.1007/978-3-642-35443-4_2zbMath1322.62345OpenAlexW171502498MaRDI QIDQ2950555

Luiz Renato Lima, Breno Néri

Publication date: 9 October 2015

Published in: Uncertainty Analysis in Econometrics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-35443-4_2

zbMATH Keywords

time-varying volatilitystrict stationary testingtime-verying

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

A nonparametric test of stationarity for independent data ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function ⋮ Testing for strict stationarity in a random coefficient autoregressive model

Uses Software

• R

Cites Work

• Unnamed Item
• A robust version of the KPSS test based on indicators
• 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?
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Testing Covariance Stationarity

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