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TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES
Author(s) -
Hong Yongmiao,
Wang Xia,
Wang Shouyang
Publication year - 2017
Publication title -
international economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.658
H-Index - 86
eISSN - 1468-2354
pISSN - 0020-6598
DOI - 10.1111/iere.12250
Subject(s) - series (stratigraphy) , nonparametric statistics , econometrics , monte carlo method , time series , function (biology) , invariant (physics) , mathematics , statistics , paleontology , evolutionary biology , biology , mathematical physics
Abstract We propose a model‐free test for strict stationarity. The idea is to estimate a nonparametric time‐varying characteristic function and compare it with the empirical characteristic function based on the whole sample. We also propose several derivative tests to check time‐invariant moments, weak stationarity, and p th order stationarity. Monte Carlo studies demonstrate excellent power of our tests. We apply our tests to various macroeconomic time series and find overwhelming evidence against strict and weak stationarity for both level and first‐differenced series. This suggests that the conventional time series econometric modeling strategies may have room to be improved by accommodating these time‐varying features.