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A Test For Weak Stationarity In The Spectral Domain

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  • Hidalgo, Javier
  • Souza, Pedro C. L.

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.

Suggested Citation

  • Hidalgo, Javier & Souza, Pedro C. L., 2019. "A Test For Weak Stationarity In The Spectral Domain," Econometric Theory, Cambridge University Press, vol. 35(3), pages 547-600, June.
    • Handle: RePEc:cup:etheor:v:35:y:2019:i:03:p:547-600_00
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    Cited by:

    1. Axel Bücher & Holger Dette & Florian Heinrichs, 2023. "A portmanteau-type test for detecting serial correlation in locally stationary functional time series," Statistical Inference for Stochastic Processes, Springer, vol. 26(2), pages 255-278, July.

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