Monitoring Procedures to Detect Unit Roots and Stationarity

Details Monitoring Procedures to Detect Unit Roots and Stationarity Monitoring Procedures to Detect Unit Roots and Stationarity

2010-01-12

arxiv.org/abs/1001.1831v1

Econometric Theory 2007, 23 (6), 1108-1135

Mathematics

Statistics Theory

Scientific paper

When analysing time series an important issue is to decide whether the time series is stationary or a random walk. Relaxing these notions, we consider the problem to decide in favor of the I(0)- or I(1)-property. Fixed-sample statistical tests for that problem are well studied in the literature. In this paper we provide first results for the problem to monitor sequentially a time series. Our stopping times are based on a sequential version of a kernel-weighted variance-ratio statistic. The asymptotic distributions are established for I(1) processes, a rich class of stationary processes, possibly affected by local nonpara- metric alternatives, and the local-to-unity model. Further, we consider the two interesting change-point models where the time series changes its behaviour after a certain fraction of the observations and derive the associated limiting laws. Our Monte-Carlo studies show that the proposed detection procedures have high power when interpreted as a hypothesis test, and that the decision can often be made very early.

Affiliated with

Also associated with

No associations

Rating

Monitoring Procedures to Detect Unit Roots and Stationarity does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Monitoring Procedures to Detect Unit Roots and Stationarity, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Monitoring Procedures to Detect Unit Roots and Stationarity will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-459052