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Results 1 - 10
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589
Testing for Trend Stationarity
, 2007
"... very preliminary. Abstract: We consider testing for trend stationarity against difference stationarity for a time series process. Under the null of trend stationarity, spectral density of the first differenced process equals to zero at the zero frequency. On the other hand, difference stationarity y ..."
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very preliminary. Abstract: We consider testing for trend stationarity against difference stationarity for a time series process. Under the null of trend stationarity, spectral density of the first differenced process equals to zero at the zero frequency. On the other hand, difference stationarity
The Stationarity of Internet Path Properties: Routing, Loss, and Throughput
- In ACIRI Technical Report
, 2000
"... There is much interest in using network measurements for both modeling and operational purposes. In this paper we focus on the fundamental question of the stationarity of such measurements. That is, to what extent are past measurements a good predictor of the future? We used the NIMI infrastructure ..."
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Cited by 83 (0 self)
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There is much interest in using network measurements for both modeling and operational purposes. In this paper we focus on the fundamental question of the stationarity of such measurements. That is, to what extent are past measurements a good predictor of the future? We used the NIMI infrastructure
Are Stationarity and Cointegration Restrictions Really Necessary for Intertemoral Budget Constraints
- Journal of Monetary Economics
, 2007
"... Time series related to fiscal and external deficits are commonly subjected to stationarity and cointegration tests to assess if the deficits are sustainable. Such tests are incapable of rejecting sustainability. The intertemporal budget constraint proves to be satisfied if either the debt series or ..."
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Cited by 43 (0 self)
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or the revenue and with-interest spending series are integrated of arbitrarily high order, i.e., stationary after differencing arbitrarily often. Revenues and spending do not have to be cointegrated. Rejections of low-order difference-stationarity and of cointegration are thus consistent with the intertemporal
Local Stationarity Of L
, 2002
"... This paper shows how the sampling theorem relates with the variations along time of the second order statistics of L processes. As a consequence, and mainly due to the positive semidefiniteness of autocorrelation functions, it is possible to conclude if a nonstationary process is locally stationa ..."
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stationary (i.e., if its second order statistics vary slowly along time) by the direct observation of its 2-dimension power spectrum or its Wigner distribution. A simple example illustrates how two different strategies for the estimation of autocorrelation functions from a small number of data can lead
Stationarity and the Existence of Moments of a
, 2001
"... This paper investigates some structural properties of a family of GARCH processes. A simple sufficient condition for the existence of the αδ-order sta-tionary solution of the processes is derived, where α ∈ (0, 1] and δ> 0. The solution is strictly stationary and ergodic, and the causal expansion ..."
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Cited by 1 (1 self)
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expansion of the family of GARCH processes is also established. Furthermore, the necessary and sufficient condition for the existence of the moments is obtained. The technique used in this paper for the moment conditions is different to that used in He and Terasvirta (1999a), and avoids the assumption
Testing for Stationarity in Time Series.
"... This paper considers a class of nonparametric autoregressive processes and then a class of nonparametric time series regression models with a nonstationary regressor. For the autoregression case, we propose a nonparametric unit–root test for the conditional mean. For the nonparametric time series re ..."
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regression case, we construct a nonparametric test for testing whether the regression is of a known parametric form indexed by a vector of unknown parameters. We establish asymptotic distributions of the proposed test statistics. Both the setting and the results differ from earlier work on nonparametric time
Stationarity and the Rate of Discount
"... Abstract: Two central concerns in the sustainability debate are the weight given to the needs of future generations and the application of the precautionary principle. In an economic model, these aspects of intertemporal evaluation can be mapped into time preference and intertemporal risk aversion. ..."
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. The current analysis points out a close link between these different aspects of intertemporal evaluation from the perspective of time consistent decision making under uncertainty. For this purpose, the paper analyzes the consequences of a stationary evaluation of the future for decision makers exhibiting a
Stationarity Of Inflation And Predictions Of Quantum Cosmology
, 1995
"... We describe several different regimes which are possible in inflationary cosmology. The simplest one is inflation without self-reproduction of the universe. In this scenario the universe is not stationary. The second regime, which exists in a broad class of inflationary models, is eternal inflation ..."
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Cited by 21 (8 self)
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We describe several different regimes which are possible in inflationary cosmology. The simplest one is inflation without self-reproduction of the universe. In this scenario the universe is not stationary. The second regime, which exists in a broad class of inflationary models, is eternal inflation
Panel stationarity test with structural breaks
, 2005
"... In this paper, we extend the heterogeneous panel data stationarity test of Hadri (2000) to the cases where breaks are taken into account. Four models with different patterns of breaks under the null hypothesis are specified. The moments of the statistics corresponding to the four models are derived ..."
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Cited by 11 (3 self)
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In this paper, we extend the heterogeneous panel data stationarity test of Hadri (2000) to the cases where breaks are taken into account. Four models with different patterns of breaks under the null hypothesis are specified. The moments of the statistics corresponding to the four models are derived
Measuring stationarity in long-memory processes
, 2014
"... In this paper we consider the problem of measuring stationarity in locally stationary long-memory processes. We introduce an L2-distance between the spectral density of the locally stationary process and its best approximation under the assumption of stationarity. The dis-tance is estimated by a num ..."
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Cited by 2 (2 self)
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In this paper we consider the problem of measuring stationarity in locally stationary long-memory processes. We introduce an L2-distance between the spectral density of the locally stationary process and its best approximation under the assumption of stationarity. The dis-tance is estimated by a
Results 1 - 10
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589
