Tests for covariance stationarity and white noise, with an application to Euro/US dollar exchange rate. An approach based on the evolutionary spectral density

Economics Letters

Volumn 77, Issue 2, 2002, Pages 177-186

  Ahamada, Ibrahim ^a  

^a Centre National de la Recherche Scientifique   (France)

Author keywords

Evolutionary spectral density; P value discrepancy plots; Size power curves; Stationary; White noise

Indexed keywords

EID: 0036792369     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(02)00123-4     Document Type: Article

References (13)

1. Adak, S., 1998. Time-dependent spectral analysis of nonstationary time series. Journal of American Statistical Association 93, 1488-1501.
2. Artis, M.J., Nachane, M., Bladen-Hovell, R., 1992. Instability of velocity of money: a new approach based on the evolutionary spectrum. CEPR Discussion paper no 735.
3. Billingsley, P., 1968. Convergence of Probability Measures. Wiley, New York.
4. Dahlhaus, R., 1996. Asymptotic statistical inference for non stationary processes with evolutionary spectra. Athens Conference on Applied Probability and Time Series Analysis. Springer-Verlag, New York.
5. Davidson, R., Mackinnon, J.G., 1993. Estimation and Inference in Econometrics. Oxford University Press, Oxford, pp. 405-408.
6. Davidson, R., Mackinnon, J.G., 1994. Graphical methods for investigating the size and power of hypothesis tests. GREQAM Working paper No 94A23, Marseille, France.
7. Kwiatkowski, D., Phillips, P.C.B., Schmidt, P., Shin, Y., 1992. Testing the null hypothesis of stationarity against the alternative of unit root. Journal of Econometrics 54, 159-178.
8. Pagan, A.R., Schwert, G.W., 1990. Testing for covariance stationarity in stock market data. Economics Letters 33, 165-170.
9. Ploberger, W., Kramer, W., 1992. The cusum test with ols residuals. Econometrica 60 (2), 271-285.
10. Priestley, M.B., 1965. Evolutionary spectra and non-stationary processes. J.R. Statist. Soc. B 27, 204-237.
11. Priestley, M.B., 1988. Non-linear and non-stationary time series analysis, Academic Press Limited, 24-28 Oval Road, London NW1 7DX. United States edition published by Academic Press Inc., San Diego, CA 92101 (Academic Press Limited, reprinted 1989, second printing 1991).
12. Priestley, M.B., Subba Rao, T., 1969. A test for non-stationarity of time series. Journal of Royal Statistical Society 31, 140-149.
13. Sachs, R., Neumann, M.H., 2000. A wavelet-based test for stationarity. Journal of Time Series Analysis 21 (No. 5.B), 597-613.