Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective

DOI10.1080/07474930801959776MaRDI QIDQ3518454zbMATH OpenOpenAlexFDO

Authors Andreas Koutris, Maria S. Heracleous, Aris Spanos

Publication date 8 August 2008

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930801959776

zbMATH Keywords

\(t\)-heterogeneityBerstein polynomialsmaximum entropy bootstrapnonstationarityparameter \(t\)-invariancerolling window estimates

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

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• Testing for stationarity with covariates: more powerful tests with non-normal errors
• Specification testing in nonstationary time series models
• Nonparametric pseudo-Lagrange multiplier stationarity testing

Cites work

• A new test for structural stability in the linear regression model
• Estimating and Testing Linear Models with Multiple Structural Changes
• scientific article; zbMATH DE number 2188315 (Why is no real title available?)
• Optimal changepoint tests for normal linear regression
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
• Testing for structural change in conditional models
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(3)

• An omnibus test to detect time-heterogeneity in time series
• Information Theoretic and Entropy Methods: An Overview
• New bootstrap inference for spurious regression problems

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