A Consistent Test of Stationary-Ergodicity
Year: 1993
Type: article
Abstract: A formal statistical test of stationary-ergodicity is developed for known Markovian processes on ℝd This makes it applicable to testing models and algorithms, as well as estimated time series processes ignoring the estimation error. The analysis is conducted by examining the asymptotic properties of the Markov operator on density space generated by the transition in the state space. The test is developed under the null of stationary-ergodicity, and it is shown to be consistent against the alternative of nonstationary-ergodicity. The test can be easily performed using any of a number of standard statistical and mathematical computer packages.
Source: Econometric Theory
Authors: Ian Domowitz, Mahmoud A. El-Gamal
Institutions: Northwestern University, California Institute of Technology
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2097572074