Published December 1993
| public
Journal Article
A consistent test of stationary-ergodicity
- Creators
- Domowitz, Ian
- El-Gamal, Mahmoud A.
Abstract
A formal statistical test of stationary-ergodicity is developed for known Markovian processes on R^d. This makes it applicable to testing models and algorithms, as well as estimated time series processes ignoring the estimation error. The analysis is conducted by examining the asymptotic properties of the Markov operator on density space generated by the transition in the state space. The test is developed under the null of stationary-ergodicity, and it is shown to be consistent against the alternative of nonstationary-ergodicity. The test can be easily performed using any of a number of standard statistical and mathematical computer packages.
Additional Information
© 1993 Cambridge University Press. This is a completely different version of an earlier paper (Domowitz & El-Gamal 1988, based on Chapter 4 of El-Gamal 1988) that was presented in the 1988 North American Summer Meetings of the Econometric Society. We thank Lars Peter Hansen, Bo Honore, Dale Mortensen, Adrian Pagan, Mark Watson, Jeffrey Wooldridge, and two anonymous referees and participants in the econometrics workshops at Northwestern, Rochester, and Yale for their helpful comments and suggestions. We particularly want to express our thanks to Donald W.K. Andrews for going well beyond the line of duty in offering a series of very useful suggestions which resulted in a significantly improved paper. Financial support from the NSF is gratefully acknowledged. We thank the Jet Propulsion Lab-oratory for giving us access to their Cray YMP2E/116. Any remaining flaws are, of course, our own. Formerly SSWP 794.Additional details
- Eprint ID
- 83079
- Resolver ID
- CaltechAUTHORS:20171108-144111476
- NSF
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2017-11-08Created from EPrint's datestamp field
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