Testing covariance stationarity
Autor(a) principal: | |
---|---|
Data de Publicação: | 2005 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/12583 |
Resumo: | In this paper, we show that the widely used stationarity tests such as the KPSS test has power close to size in the presence of time-varying unconditional variance. We propose a new test as a complement of the existing tests. Monte Carlo experiments show that the proposed test possesses the following characteristics: (i) In the presence of unit root or a structural change in the mean, the proposed test is as powerful as the KPSS and other tests; (ii) In the presence a changing variance, the traditional tests perform badly whereas the proposed test has high power comparing to the existing tests; (iii) The proposed test has the same size as traditional stationarity tests under the null hypothesis of covariance stationarity. An application to daily observations of return on US Dollar/Euro exchange rate reveals the existence of instability in the unconditional variance when the entire sample is considered, but stability is found in sub-samples. |
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Lima, Luiz Renato Regis de OliveiraEscolas::EPGEFGV2014-11-25T10:44:38Z2014-11-25T10:44:38Z2005-10-27http://hdl.handle.net/10438/12583In this paper, we show that the widely used stationarity tests such as the KPSS test has power close to size in the presence of time-varying unconditional variance. We propose a new test as a complement of the existing tests. Monte Carlo experiments show that the proposed test possesses the following characteristics: (i) In the presence of unit root or a structural change in the mean, the proposed test is as powerful as the KPSS and other tests; (ii) In the presence a changing variance, the traditional tests perform badly whereas the proposed test has high power comparing to the existing tests; (iii) The proposed test has the same size as traditional stationarity tests under the null hypothesis of covariance stationarity. An application to daily observations of return on US Dollar/Euro exchange rate reveals the existence of instability in the unconditional variance when the entire sample is considered, but stability is found in sub-samples.engEscola de Pós-Graduação em Economia da FGVSeminários de pesquisa econômica da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessTesting covariance stationarityinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaAnálise de séries temporaisEconometriareponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL1988.pdf1988.pdfapplication/pdf188515https://repositorio.fgv.br/bitstreams/bacccefe-0a4c-4c83-b0cb-73eb2eb6f8e8/download96fe35e2e5d00c0aaf7212e3bca60032MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/f9f7ef10-20fc-4661-bcc1-82c70e09ee95/downloaddfb340242cced38a6cca06c627998fa1MD52TEXT1988.pdf.txt1988.pdf.txtExtracted 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dc.title.eng.fl_str_mv |
Testing covariance stationarity |
title |
Testing covariance stationarity |
spellingShingle |
Testing covariance stationarity Lima, Luiz Renato Regis de Oliveira Economia Análise de séries temporais Econometria |
title_short |
Testing covariance stationarity |
title_full |
Testing covariance stationarity |
title_fullStr |
Testing covariance stationarity |
title_full_unstemmed |
Testing covariance stationarity |
title_sort |
Testing covariance stationarity |
author |
Lima, Luiz Renato Regis de Oliveira |
author_facet |
Lima, Luiz Renato Regis de Oliveira |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Lima, Luiz Renato Regis de Oliveira |
dc.subject.area.por.fl_str_mv |
Economia |
topic |
Economia Análise de séries temporais Econometria |
dc.subject.bibliodata.por.fl_str_mv |
Análise de séries temporais Econometria |
description |
In this paper, we show that the widely used stationarity tests such as the KPSS test has power close to size in the presence of time-varying unconditional variance. We propose a new test as a complement of the existing tests. Monte Carlo experiments show that the proposed test possesses the following characteristics: (i) In the presence of unit root or a structural change in the mean, the proposed test is as powerful as the KPSS and other tests; (ii) In the presence a changing variance, the traditional tests perform badly whereas the proposed test has high power comparing to the existing tests; (iii) The proposed test has the same size as traditional stationarity tests under the null hypothesis of covariance stationarity. An application to daily observations of return on US Dollar/Euro exchange rate reveals the existence of instability in the unconditional variance when the entire sample is considered, but stability is found in sub-samples. |
publishDate |
2005 |
dc.date.issued.fl_str_mv |
2005-10-27 |
dc.date.accessioned.fl_str_mv |
2014-11-25T10:44:38Z |
dc.date.available.fl_str_mv |
2014-11-25T10:44:38Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
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article |
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publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/12583 |
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http://hdl.handle.net/10438/12583 |
dc.language.iso.fl_str_mv |
eng |
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eng |
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Seminários de pesquisa econômica da EPGE |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
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reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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