TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES
文献类型：期刊论文
| 作者 | Hong, Yongmiao; Wang, Xia; Wang, Shouyang |
| 刊名 | INTERNATIONAL ECONOMIC REVIEW
 |
| 出版日期 | 2017-11-01 |
| 卷号 | 58期号:4页码:1227-1277 |
| ISSN号 | 0020-6598 |
| DOI | 10.1111/iere.12250 |
| 英文摘要 | 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. |
| 资助项目 | National Science Foundation of China[71401160] ; Ministry of Education of Humanities and Social Sciences China[14YJC790120] ; Fujian Provincial Key Laboratory of Statistics (Xiamen University)[2016003] |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000416331700006 |
| 出版者 | WILEY |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/29194]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Wang, Xia |
| 作者单位 | 1.Cornell Univ, Ithaca, NY 14853 USA 2.Xiamen Univ, Xiamen, Peoples R China 3.Sun Yat Sen Univ, Guangzhou, Guangdong, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 5.Univ Chinese Acad Sci, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Hong, Yongmiao,Wang, Xia,Wang, Shouyang. TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES[J]. INTERNATIONAL ECONOMIC REVIEW,2017,58(4):1227-1277. |
| APA | Hong, Yongmiao,Wang, Xia,&Wang, Shouyang.(2017).TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES.INTERNATIONAL ECONOMIC REVIEW,58(4),1227-1277. |
| MLA | Hong, Yongmiao,et al."TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES".INTERNATIONAL ECONOMIC REVIEW 58.4(2017):1227-1277. |
入库方式： OAI收割
来源：数学与系统科学研究院
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