Testing a time series for difference stationarity

DOI10.1214/aos/1176324634zbMath0838.62082OpenAlexW2025662344MaRDI QIDQ1906199

A. R. Tremayne, B. P. M. McCabe

Publication date: 8 February 1996

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176324634

zbMATH Keywords

weak convergencesimulationGaussianityautoregressive modeldifference stationaritylocally best invariant testrandom coefficientmixture of Brownian motions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (max. 100)

Coefficient constancy test in AR-ARCH models ⋮ Unnamed Item ⋮ Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application ⋮ Testing for unit root processes in random coefficient autoregressive models ⋮ INFERENCE ON SEGMENTED COINTEGRATION ⋮ An introduction to stochastic unit-root processes ⋮ UNIFIED INTERVAL ESTIMATION FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS ⋮ Testing for random coefficient autoregressive and stochastic unit root models ⋮ Stochastic local and moderate departures from a unit root and its application to unit root testing ⋮ Testing joint hypotheses when one of the alternatives is one-sided ⋮ Testing for randomness in a random coefficient autoregression model ⋮ On time series with randomized unit root and randomized seasonal unit root ⋮ A test for strict stationarity in a random coefficient autoregressive model of order 1 ⋮ Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results ⋮ NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS ⋮ A simple procedure for detecting periodically collapsing rational bubbles ⋮ Testing for a unit root in a random coefficient panel data model ⋮ Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process ⋮ Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process ⋮ Coefficient constancy test in a random coefficient autoregressive model ⋮ Testing for strict stationarity in a random coefficient autoregressive model

This page was built for publication: Testing a time series for difference stationarity