STATIONARITY TESTING WITH COVARIATES

Michael Jansson ()

Econometric Theory, 2004, vol. 20, issue 01, pages 56-94

Abstract: Two new stationarity tests are proposed. Both tests can be viewed as generalizations of existing stationarity tests and dominate these in terms of local asymptotic power. Improvements are achieved by accommodating stationary covariates. A Monte Carlo investigation of the small sample properties of the tests is conducted, and an empirical illustration from international finance is provided.

Date: 2004
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