Semiparametric stationarity tests based on adaptive multidimensional increment ratio statistics

arXiv1207.2453MaRDI QIDQ6234294FDOQ6234294

Authors: Jean-Marc Bardet, Béchir Dola 

Publication date: 10 July 2012

Abstract: In this paper, we show that the adaptive multidimensional increment ratio estimator of the long range memory parameter defined in Bardet and Dola (2012) satisfies a central limit theorem (CLT in the sequel) for a large semiparametric class of Gaussian fractionally integrated processes with memory parameter $din(-0.5,1.25)$. Since the asymptotic variance of this CLT can be computed, tests of stationarity or nonstationarity distinguishing the assumptions $d<0.5$ and $dgeq0.5$ are constructed. These tests are also consistent tests of unit root. Simulations done on a large benchmark of short memory, long memory and non stationary processes show the accuracy of the tests with respect to other usual stationarity or nonstationarity tests (LMC, V/S, ADF and PP tests). Finally, the estimator and tests are applied to log-returns of famous economic data and to their absolute value power laws.

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