Harvey, A. C. and Busetti, F.

Tests of strict stationarity based on quantile indicators

Journal of Time Series Analysis

Vol. 31 pp. 435-450 (2010)

Abstract: Quantiles provide a comprehensive description of the properties of a variable and tracking changes in quantiles over time using signal extraction methods can be informative. It is shown here how stationarity tests can be generalized to test the null hypothesis that a particular quantile is constant over time by using weighted indicators. Corresponding tests based on expectiles are also proposed; these might be expected to be more powerful for distributions that are not heavy-tailed. Tests for changing dispersion and asymmetry may be based on contrasts between particular quantiles or expectiles. We report Monte Carlo experiments investigating the effectiveness of the proposed tests and then move on to consider how to test for relative time invariance, based on residuals from fitting a time-varying level or trend. Empirical examples, using stock returns and U.S. inflation, provide an indication of the practical importance of the tests.

Author links: Andrew Harvey  

Publisher's Link: http://onlinelibrary.wiley.com/doi/10.1111/j.1467-9892.2010.00676.x/abstract