Stationarity testing under nonlinear models. Some asymptotic results

Manuel Landajo and María José Presno

Journal of Time Series Analysis, 2010, vol. 31, issue 5, 392-405

Abstract: Stationarity testing for nonlinear time series models which include several smooth trend components with (possibly) unknown parameters is considered. A pseudo‐Lagrange multiplier stationarity test is proposed and its asymptotic behaviour is derived. The limiting null distribution generally depends on the unknown parameters of the model. A bootstrap approach permits this problem to be circumvented and consistency of the bootstrapped test is obtained. The theoretical analysis is complemented with a simulation study which allows us to check the performance of the test in finite samples. The article ends with an empirical application.

Date: 2010
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https://doi.org/10.1111/j.1467-9892.2010.00672.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:31:y:2010:i:5:p:392-405

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