Testing covariance stationarity | |
Xiao, Zhijie ; Lima, Luiz Renato | |
2010-05-11 ; 2010-05-11 | |
关键词 | asymptotic theory KPSS stationarity testing time-varying variance TIME-SERIES REGRESSION STOCK-MARKET PRICES UNIT-ROOT TESTS CONDITIONAL HETEROSKEDASTICITY MATRIX ESTIMATION LINEAR-PROCESSES NULL HYPOTHESIS LONG MEMORY VOLATILITY VARIANCE Economics Mathematics, Interdisciplinary Applications Social Sciences, Mathematical Methods Statistics & Probability |
中文摘要 | In this paper, we show that the widely used stationarity tests such as the Kwiatkowski Phillips, Schmidt, and Shin (KPSS) test have power close to size in the presence of time-varying unconditional variance. We propose a new test as a complement of the existing tests. Monte Carlo experiments show that the proposed test possesses the following characteristics: (i) in the Presence of unit root or a structural change in the mean, the proposed test is as powerful as the KPSS and other tests, (ii) in the presence of a changing variance, the traditional tests Perform badly whereas the proposed test has high power comparing to the existing tests; (iii) the proposed test has the same size as traditional stationarity tests under the null hypothesis of stationarity. An application to daily observations of return on U.S. Dollar/Euro exchange rate reveals the existence of instability in the unconditional variance when the entire sample is considered, but stability is found in subsamples. |
语种 | 英语 ; 英语 |
出版者 | TAYLOR & FRANCIS INC ; PHILADELPHIA ; 325 CHESTNUT ST, SUITE 800, PHILADELPHIA, PA 19106 USA |
内容类型 | 期刊论文 |
源URL | [http://hdl.handle.net/123456789/26199] ![]() |
专题 | 清华大学 |
推荐引用方式 GB/T 7714 | Xiao, Zhijie,Lima, Luiz Renato. Testing covariance stationarity[J],2010, 2010. |
APA | Xiao, Zhijie,&Lima, Luiz Renato.(2010).Testing covariance stationarity.. |
MLA | Xiao, Zhijie,et al."Testing covariance stationarity".(2010). |
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