In this paper, we show that the central limit theorem (CLT) satisfied by the data-driven Multidimensional Increment Ratio (MIR) estimator of the memory parameter d established in Bardet and Dola (2012) for d ∈ (−0.5, 0.5) can be extended to a semiparametric class of Gaussian fractionally integrated processes with memory parameter d ∈ (−0.5, 1.25). Since the asymptotic variance of this CLT can b...

This paper introduces various consistent tests for the null hypothesis of stationarity with possibly unknown multiple structural break points against the alternative of nonstationarity that can be applied to multiple as well as univariate time series. These tests can be applied to either partial or pure structural breaks. It is shown that tests for stationarity become divergent when structural ...

A multivariate test for stationarity is proposed in this paper. We develop Lagrange Multiplier type tests based on using additional stationary covariates. We show that the tests can be used to determine the number of cointegrating vectors in a system, starting with the null hypothesis of r cointegrating vectors and testing for less than r cointegrating vectors. A Monte Carlo experiment shows th...

In recent years, some investigations have been carried out to examine the assumptions like stationarity, symmetry and separability of spatio-temporal covariance function which would considerably simplify fitting a valid covariance model to the data by parametric and nonparametric methods. In this article, assuming a Gaussian random field, we consider the likelihood ratio separability test, a va...

In many applications common in testing for convergence the number of cross-sectional units is large and the number of time periods are few. In these situations tests which are founded upon an omnibus null hypothesis are characterised by a number of problems. In this paper we consider a broad class of tests of convergence based on multivariate time series and panel data methodologies, and track ...

This paper applies conventional panel unit root tests and panel stationarity tests with and without structural breaks to examine the time series properties of real Gross Domestic Product (GDP) per capita for a panel of eight Pacific Island economies. The panel unit root and panel stationarity tests without structural breaks suggest that for the panel as a whole real GDP per capita contains a un...

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 sta...

For nonstationary time series the fixed Fourier basis is no longer canonical. This article shows how the choice of analysis basis influences the detection of nonstationarities within time series. Rather than limit our basis choice to wavelet or Fourier functions we develop a new stationarity test using a (multiple) bootstrap hypothesis test based on non-decimated wavelet packets. Non-decimated ...

This study tests for the stationarity and sustainability of current account deficits for ten transition economies. For this purpose, a new test is employed that allows one to test for unit roots in heterogeneous panel datasets. While the benefits from creating a panel to overcome low test power are well known, this test also offers key advantages over existing alternative panel data unit root t...