✦ LIBER ✦

Stationarity tests in time series model building

✍ Scribed by Mukhtar M. Ali; Richard Thalheimer

Publisher: John Wiley and Sons
Year: 1983
Tongue: English
Weight: 571 KB
Volume: 2
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.3980020307

No coin nor oath required. For personal study only.

✦ Synopsis

Optimum non-parametric tests for stationarity of a stochastic process against location and scale shift alternatives are explored. Usefulness of these tests in detecting a suitable differencing transformation that reduces a nonstationary time series to a stationary one is illustrated with a number of previously analysed real life data.

KEY WORDS Stationarity tests Nonparametric tests Time series

Analysis Model building ' Procedures to test unit root in an autoregressive time series as developed by Fuller (1976), Dickey (1976), Dickey and Fuller (1979) and Hasza and Fuller (1979) may possibly be used to check non-stationarity. A difficulty inherent in these procedures is that the hypothesis alternative to the unit root hypothesis includes both stationary and non-stationary processes.

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