科学研究

科学研究

科研动态
学术日历
学术讲座
学术会议
论文发表
学术期刊
教研平台
数据库与软件资源
图书馆数据资源
下载专区
工作论文
科学研究
论文发表
当前位置是： 首页 -> 科学研究 -> 论文发表 -> 正文

Testing strict stationarity with applications to macroeconomic time series

id：2370 时间：20180129 status：published 点击数：
杂志INTERNATIONAL ECONOMIC REVIEW   58, 1227-1277
作者Yongmiao Hong, Xia Wang, Shouyang Wang
正文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 pth 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.
JEL-Codes：
关键词：
TOP