Stationarity test based on density approach

DOI10.1080/10485252.2020.1748624zbMath1444.62060OpenAlexW3015359120MaRDI QIDQ5114479

Tae Yoon Kim, Jeongcheol Ha, Cheolyong Park, Ji Eun Moon, Sun Young Hwang

Publication date: 24 June 2020

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2020.1748624

zbMATH Keywords

density approachneighbourhood problemlong-range dependence (LRD) stationarity test

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Non-Markovian processes: hypothesis testing (62M07)

Uses Software

• longmemo

Cites Work

• Unnamed Item
• 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?
• Density versions of the univariate central limit theorem
• Kernel density estimator for strong mixing processes
• Nonparametric tests for unit roots and cointegration.
• THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
• Moment inequalities for mixing sequences of random variables
• Discrimination between monotonic trends and long-range dependence
• Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
• Localized Realized Volatility Modeling
• Long Range Dependence

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