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Computation of limiting distributions in stationarity testing with a generic trend

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Abstract

The asymptotic null distribution of the Lagrange Multiplier stationarity test, and analytical expressions for the limiting characteristic functions, are derived for a number of time series models which include a piecewise continuous deterministic trend. Some case studies illustrate the performance of the method.

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Authors and Affiliations

  1. Unit of Statistics and Econometrics, Department of Applied Economics, University of Oviedo, Avenida del Cristo, s/no., 33009, Oviedo, Spain

    María José Presno & Manuel Landajo

Authors
  1. María José Presno
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  2. Manuel Landajo
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Correspondence to María José Presno.

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Presno, M.J., Landajo, M. Computation of limiting distributions in stationarity testing with a generic trend. Metrika 71, 165–183 (2010). https://doi.org/10.1007/s00184-008-0224-1

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  • DOI: https://doi.org/10.1007/s00184-008-0224-1

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