A TEST FOR WEAK STATIONARITY IN THE SPECTRAL DOMAIN. (20th July 2018)

• Record Type: Journal Article
• Authors: Hidalgo, Javier; Souza, Pedro C. L.
• Is Part Of: Econometric theory. Volume 35:Number 3(2019)
• Page Start: 547
• Page End: 600
• Publication Date: 2018-07-20
• Subjects: Econometrics -- Periodicals; 330.01519505
• DOI: 10.1017/S0266466618000191
• Languages: English
• ISSNs: 0266-4666

Abstract

Abstract : 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.