NONPARAMETRIC NONSTATIONARITY TESTS

DOI10.1017/S0266466613000145zbMath1291.62093MaRDI QIDQ4979936

Federico M. Bandi, Valentina Corradi

Publication date: 20 June 2014

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

Harris recurrent Markov chainHerris recurrent diffusion processnonstationarity yest

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Markov processes: hypothesis testing (62M02)

Related Items

Forecast dominance testing via sign randomization ⋮ Testing for stationarity at high frequency ⋮ Sequential testing for structural stability in approximate factor models ⋮ Inference in Heavy-Tailed Nonstationary Multivariate Time Series ⋮ Testing for (in)finite moments ⋮ Cointegration in high frequency data ⋮ A diagnostic criterion for approximate factor structure ⋮ Testing for strict stationarity in a random coefficient autoregressive model

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