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A test for weak stationarity in the spectral domain

Hidalgo, Javier and Souza, Pedro C.L. (2019) A test for weak stationarity in the spectral domain. Econometric Theory, 35 (3). pp. 547-600. ISSN 0266-4666

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Identification Number: 10.1017/S0266466618000191


We examine a test for weak stationarity against alternatives that covers both local-stationarity and break point models. A key feature of the test is that its asymptotic distribution is a functional of the standard Brownian bridge sheet in [0,1]2, so that it does not depend on any unknown quantity. The test has nontrivial power against local alternatives converging to the null hypothesis at a T−1/2 rate, where T is the sample size. We also examine an easy-to-implement bootstrap analogue and present the finite sample performance in a Monte Carlo experiment. Finally, we implement the methodology to assess the stability of inflation dynamics in the United States and on a set of neuroscience tremor data.

Item Type: Article
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Additional Information: © 2018 Cambridge University Press
Divisions: Economics
Date Deposited: 07 Jan 2020 12:24
Last Modified: 20 Oct 2021 00:56

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