Testing for stationarity at high frequency

DOI10.1016/J.JECONOM.2019.09.004MaRDI QIDQ2182131zbMATH OpenOpenAlexFDO

Authors Bibo Jiang, Ye Lu, Joon Y. Park

Publication date 21 May 2020

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2019.09.004

zbMATH Keywords

KPSS testcontinuous time processtesting for cointegrationhigh frequency observationtesting for stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Generalizations of the KPSS‐test for stationarity
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
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• The fragility of the KPSS stationarity test

Cites work

• A robust version of the KPSS test based on indicators
• Asymptotics for recurrent diffusions with application to high frequency regression
• Automatic Lag Selection in Covariance Matrix Estimation
• Donsker theorems for diffusions: necessary and sufficient conditions
• Estimation of longrun variance of continuous time stochastic process using discrete sample
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Long-Term Memory in Stock Market Prices
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Nonparametric nonstationarity tests
• Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Rescaled variance and related tests for long memory in volatility and levels
• STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
• Size and power of tests of stationarity in highly autocorrelated time series
• 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?

Cited in

(1)

• Testing for jumps in noisy high frequency data

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