Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective
One of the most important assumptions in empirical modeling is the constancy of the statistical model parameters which usually reflects the stationarity of the underlying stochastic process. In the 1980s and 1990s, the issue of nonstationarity in economic time series has been discussed in the context of unit roots vs. mean trends in AR(p) models. This perspective was subsequently extended to include structural breaks. In this article we take a much broader perspective by allowing for more general forms of nonstationarity. The focus of the article is primarily on misspecification testing. The proposed test relies on Maximum Entropy (ME) resampling techniques to enhance the information in the data in an attempt to capture heterogeneity “locally” using rolling window estimators. The t-heterogeneity of the primary moments of the process is generically captured using orthogonal Bernstein polynomials. The effectiveness of the testing procedure is assessed using Monte Carlo simulations.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 27 (2008)
Issue (Month): 4-6 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/LECR20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/LECR20|
When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:27:y:2008:i:4-6:p:363-384. 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: ()
If references are entirely missing, you can add them using this form.