STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER

DOI10.1017/S0266466605050401MaRDI QIDQ3377453zbMATH OpenFDO

Authors Fabio Busetti, A. M. Robert Taylor

Publication date 22 March 2006

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466605050401

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

Recommendations

• On local power properties of frequency domain-based tests for stationarity
• Size and power of tests of stationarity in highly autocorrelated time series
• Modified stationarity tests with improved power in small samples
• On the power of stationarity tests using optimal bandwidth estimates
• A test for stationarity for irregularly spaced spatial data
• A note on testing hypotheses for stationary processes in the frequency domain
• Some results on testing for stationarity using data detrended in differences
• Statistical analysis for stationary time processes with irregular observations

Cites work

• An optimal test against a random walk component in a non‐orthogonal unobserved components model
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
• Computing the distribution of quadratic forms in normal variables
• Continuous time autoregressive models with common stochastic trends
• Discrete and continuous time cointegration
• Error Correction and Long-Run Equilibrium in Continuous Time
• Estimating integrated higher-order continuous time autoregressions with an application to money-income causality
• Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
• Testing for Deterministic Linear Trend in Time Series
• Testing for the presence of a random walk in series with structural breaks
• Testing for unit roots in flow data sampled at different frequencies
• Testing for unit roots with flow data and varying sampling frequency
• 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?
• The KPSS test with seasonal dummies
• Time Series Regression with a Unit Root

Cited in

(6)

• Testing for unit roots in flow data sampled at different frequencies
• Modified stationarity tests with improved power in small samples
• Testing for stationarity at high frequency
• Testing for unit roots with flow data and varying sampling frequency
• Implementing residual-based KPSS tests for cointegration with data subject to temporal aggregation and mixed sampling frequencies
• Testing cointegrating relationships using irregular and non-contemporaneous series with an application to paleoclimate data

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