Arbeitspapier
Testing for strict stationarity
The investigation of the presence of structural change in economic and financial series is a major preoccupation in econometrics. A number of tests have been developed and used to explore the stationarity properties of various processes. Most of the focus has rested on the first two moments of a process thereby implying that these tests are tests of covariance stationarity. We propose a new test for strict stationarity, that considers the whole distribution of the process rather than just its first two moments, and examine its asymptotic properties. We provide two alternative bootstrap approximations for the exact distribution of the test statistic. A Monte Carlo study illustrates the properties of the new test and an empirical application to the constituents of the S&P 500 illustrates its usefulness.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 602
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Covariance stationarity , Strict stationarity , Bootstrap , S&P500
Stochastischer Prozess
Zeitreihenanalyse
Panel
Bootstrap-Verfahren
Monte-Carlo-Methode
Schätztheorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kapetanios, George
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, Department of Economics
- (wo)
-
London
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kapetanios, George
- Queen Mary University of London, Department of Economics
Entstanden
- 2007
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