A test for second order stationarity of a multivariate time series

DOI10.1016/j.jeconom.2014.09.010zbMath1332.62328OpenAlexW2107784880MaRDI QIDQ2343767

Suhasini Subba Rao, Carsten Jentsch

Publication date: 6 May 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.09.010

zbMATH Keywords

discrete Fourier transformnonlinear time serieslocal stationaritystationary bootstraptesting for stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)

Related Items (14)

Spectral Inference under Complex Temporal Dynamics ⋮ Testing self-similarity through Lamperti transformations ⋮ Nonparametric change point detection in multivariate piecewise stationary time series ⋮ KPSS test for functional time series ⋮ Graphical models for nonstationary time series ⋮ A Spectral Domain Test for Stationarity of Spatio‐Temporal Data ⋮ Testing for stationarity of functional time series in the frequency domain ⋮ A TEST FOR WEAK STATIONARITY IN THE SPECTRAL DOMAIN ⋮ A nonparametric test for stationarity in functional time series ⋮ A test for second-order stationarity of a time series based on the maximum of Anderson-Darling statistics ⋮ On Local Power Properties of Frequency Domain‐based Tests for Stationarity ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function ⋮ Detecting deviations from second-order stationarity in locally stationary functional time series ⋮ Casting vector time series: algorithms for forecasting, imputation, and signal extraction

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