Testing for Stationarity in Series with a Shift in the Mean. A Fredholm Approach

Autores: María José Presno Casquero , Ana Jesús López Menéndez
Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 12, Nº. 1, 2003, págs. 195-213
Idioma: inglés
DOI: 10.1007/bf02595819
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Resumen
- This paper analyses the normalised Locally Best Invariant statistic for testing the null hypothesis of stationarity around a level, showing its divergence when applied to series with a shift in its mean. This fact suggests an extension of the test allowing the study of stationarity around a level with an exogenous change. The characteristic function of the statistic is obtained through the Fredholm approach. The asymptotic behaviour of the proposed test is also examined by computing the limiting power under a sequence of local alternatives.