A Consistent Test of Stationary-Ergodicity

Ian Domowitz () and El-Gamal, Mahmoud A.

Econometric Theory, 1993, vol. 9, issue 04, pages 589-601

Abstract: A formal statistical test of stationary-ergodicity is developed for known Markovian processes on d This makes it applicable to testing models and algorithms, as well as estimated time series processes ignoring the estimation error. The analysis is conducted by examining the asymptotic properties of the Markov operator on density space generated by the transition in the state space. The test is developed under the null of stationary-ergodicity, and it is shown to be consistent against the alternative of nonstationary-ergodicity. The test can be easily performed using any of a number of standard statistical and mathematical computer packages.

Date: 1993

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466600007994 link to article abstract page (text/html)

Related works:
Working Paper: A Consistent Test of Stationary Ergodicity (1993)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:9:y:1993:i:04:p:589-601_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().