A TEST FOR WEAK STATIONARITY IN THE SPECTRAL DOMAIN
Javier Hidalgo and
Pedro C. L. Souza
Econometric Theory, 2019, vol. 35, issue 3, 547-600
We examine a test for weak stationarity against alternatives that covers both local-stationarity and break point models. A key feature of the test is that its asymptotic distribution is a functional of the standard Brownian bridge sheet in [0,1]2, so that it does not depend on any unknown quantity. The test has nontrivial power against local alternatives converging to the null hypothesis at a Tâˆ’1/2 rate, where T is the sample size. We also examine an easy-to-implement bootstrap analogue and present the finite sample performance in a Monte Carlo experiment. Finally, we implement the methodology to assess the stability of inflation dynamics in the United States and on a set of neuroscience tremor data.
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