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NONPARAMETRIC NONSTATIONARITY TESTS
Econometric Theory, 2013We propose additive functional-based nonstationarity tests that exploit the different divergence rates of the occupation times of a (possibly nonlinear) process under the null of nonstationarity (stationarity) versus the alternative of stationarity (nonstationarity). We consider both discrete-time series and continuous-time processes. The discrete-time
Bandi, FM, Corradi, V
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