Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series
نویسندگان
چکیده
منابع مشابه
Size and power of tests of stationarity in highly autocorrelated time series
Tests of stationarity are routinely applied to highly autocorrelated time series. Following Kwiatkowski et al. (J. Econom. 54 (1992) 159), standard stationarity tests employ a rescaling by an estimator of the long-run variance of the (potentially) stationary series. This paper analytically investigates the size and power properties of such tests when the series are strongly autocorrelated in a ...
متن کاملa time-series analysis of the demand for life insurance in iran
با توجه به تجزیه و تحلیل داده ها ما دریافتیم که سطح درامد و تعداد نمایندگیها باتقاضای بیمه عمر رابطه مستقیم دارند و نرخ بهره و بار تکفل با تقاضای بیمه عمر رابطه عکس دارند
sts15 Tests for stationarity of a time series
sts15 Tests for stationarity of a time series Christopher F. Baum, Boston College, [email protected] Abstract: Implements the Elliott–Rothenberg–Stock (1996) DF-GLS test and the Kwiatkowski–Phillips–Schmidt–Shin (1992) KPSS tests for stationarity of a time series. The DF-GLS test is an improved version of the augmented Dickey–Fuller test. The KPSS test has a null hypothesis of stationarity and may be...
متن کاملStationarity in OWD time series
IT is a widely accepted view that Internet tra c and thus the related quantities show long-range dependence (LRD). Besides other features, in practice, this means slowly decaying correlations, often according to some power law: C(τ) ∼ τ−α. Recent results suggest that this phenomenon is valid only on certain time scales, depending on the actual measurement. Stationary periods were detected in va...
متن کاملHAC Corrections for Strongly Autocorrelated Time Series∗
Applied work routinely relies on heteroskedasticity and autorcorrelation consistent (HAC) standard errors when conducting inference in a time series setting. As is well known, however, these corrections perform poorly in small samples under pronounced autocorrelations. In this paper, I first provide a review of popular methods to clarify the reasons for this failure. I then derive inference tha...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.371980