Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Title "Testing covariance stationarity"

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    • Testing covariance stationarity 

      Xiao, Zhijie; Lima, Luiz Renato Regis de Oliveira
      2006-11-01
      In this paper, we show that the widely used stationarity tests such as the KPSS test have power close to size in the presence of time-varying unconditional variance. We propose a new test as a complement of the existing ...

    • Testing covariance stationarity 

      Lima, Luiz Renato Regis de Oliveira
      2005-10-27
      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 ...