A test for second order stationarity of a multivariate time series
نویسندگان
چکیده
منابع مشابه
A test for second order stationarity of a multivariate time series
It is well known that the discrete Fourier transform (DFT) of a second order stationary time series between two distinct Fourier frequencies are asymptotically uncorrelated. In contrast we show that for a large class of second order nonstationary time series, including locally stationary time series, the covariance between the Fourier frequencies is non-zero. Indeed the correlations between the...
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We consider a zero mean discrete time series, and define its discrete Fourier transform at the canonical frequencies. It can be shown that the discrete Fourier transform is asymptotically uncorrelated at the canonical frequencies if and if only the time series is second order stationary. Exploiting this important property, we construct a Portmanteau type test statistic for testing stationarity ...
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A test for second order stationarity of a time series based on the Discrete Fourier Transform (Technical Report)
We consider a zero mean discrete time series, and define its discrete Fourier transform at the canonical frequencies. It is well known that the discrete Fourier transform is asymptotically uncorrelated at the canonical frequencies if and if only the time series is second order stationary. Exploiting this important property, we construct a Portmanteau type test statistic for testing stationarity...
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Many time series are not second-order stationary and it is not appropriate to analyze them using methods designed for stationary series. This article introduces a new test for second-order stationarity that detects different kinds of departures from stationarity than those based on Fourier methods. The new test is also computationally fast, designed to work with Gaussian and a wide range of non...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2015
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2014.09.010