On local power properties of frequency domain based tests for stationarity
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Date
2013-04-08
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Abstract
A framework for the asymptotic analysis of local power properties of tests of stationarity
in time series analysis is developed. Appropriate sequences of locally stationary processes are
defi ned that converge at a controlled rate to a limiting stationary process as the length of the
time series increases. Different interesting classes of local alternatives to the null hypothesis
of stationarity are then considered and the local power properties of some recently proposed,
frequency domain-based tests for stationarity are investigated. Some simulations illustrate our
theoretical findings.