Advanced Search
MyIDEAS: Login to save this article or follow this journal

Monitoring Procedures To Detect Unit Roots And Stationarity

Contents:

Author Info

  • Steland, Ansgar
Registered author(s):

    Abstract

    When analyzing time series an important issue is to decide whether the time series is stationary or a random walk. Relaxing these notions, we consider the problem to decide in favor of the I(0) or I(1) property. Fixed-sample statistical tests for that problem are well studied in the literature. In this paper we provide first results for the problem of monitoring sequentially a time series. Our stopping times are based on a sequential version of a kernel-weighted variance-ratio statistic. The asymptotic distributions are established for I(1) processes, a rich class of stationary processes, possibly affected by local nonparametric alternatives, and the local-to-unity model. Further, we consider the two interesting change-point models where the time series changes its behavior after a certain fraction of the observations and derive the associated limiting laws. Our Monte Carlo studies show that the proposed detection procedures have high power when interpreted as a hypothesis test and that the decision can often be made very early.The financial support of the DFG (Deutsche Forschungsgemeinschaft, SFB 475, Reduction of Complexity in Multivariate Data Structures) is gratefully acknowledged. I thank two anonymous referees for constructive and helpful remarks that improved the paper and Dipl.-Math. Sabine Teller for proofreading a revised version.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://journals.cambridge.org/abstract_S0266466607070442
    File Function: link to article abstract page
    Download Restriction: no

    Bibliographic Info

    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 23 (2007)
    Issue (Month): 06 (December)
    Pages: 1108-1135

    as in new window
    Handle: RePEc:cup:etheor:v:23:y:2007:i:06:p:1108-1135_07

    Contact details of provider:
    Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
    Fax: +44 (0)1223 325150
    Web page: http://journals.cambridge.org/jid_ECTProvider-Email:journals@cambridge.org

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Chen, Zhanshou & Tian, Zheng & Wei, Yuesong, 2010. "Monitoring change in persistence in linear time series," Statistics & Probability Letters, Elsevier, vol. 80(19-20), pages 1520-1527, October.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:23:y:2007:i:06:p:1108-1135_07. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.