TESTING A TIME-SERIES FOR DIFFERENCE STATIONARITY

• 成果类型: Article
• 署名作者: MCCABE, BPM; TREMAYNE, AR
• 署名单位: University of Sydney
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1176324634
• 发表日期: 1995
• 页码: 1015-1028
• 关键词: unit-root

摘要

This paper addresses the problem of testing the hypothesis that an observed series is difference stationary. The alternative hypothesis is that the series is another nonstationary process; in particular, an autoregressive model with a random parameter is used. A locally best invariant test is developed assuming Gaussianity, and a representation of its asymptotic distribution as a mixture of Brownian motions is found. The performance of the test in finite samples is investigated by simulation. An example is given where the difference stationary assumption for a well-known data series is rejected.