Semiparametric stationarity tests based on adaptive multidimensional increment ratio statistics

In this paper, we show that the adaptive multidimensional increment ratio estimator of the long range memory parameter defined in Bardet and Dola (2012) satisfies a central limit theorem (CLT in the sequel) for a large semiparametric class of Gaussian fractionally integrated processes with memory parameter d ∈ (−0.5, 1.25). Since the asymptotic variance of this CLT can be computed, tests of stationarity or nonstationarity distinguishing the assumptions d < 0.5 and d ≥ 0.5 are constructed. These tests are also consistent tests of unit root. Simulations done on a large benchmark of short memory, long memory and non stationary processes show the accuracy of the tests with respect to other usual stationarity or nonstationarity tests (LMC, V/S, ADF and PP tests). Finally, the estimator and tests are applied to log-returns of famous economic data and to their absolute value power laws.