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A TEST FOR WEAK STATIONARITY IN THE SPECTRAL DOMAIN

  • Javier Hidalgo (a1) and Pedro C. L. Souza (a2)
Abstract

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 T−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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*Address correspondence to Javier Hidalgo, Economics Department, London School of Economics, London WC2A 2AE, UK; e-mail: f.j.hidalgo@lse.ac.uk
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We thank the Associate Editor and two referees for very helpful comments. Any remaining errors are our sole responsibility.

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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
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