Now showing items 1-3 of 3

    • Testing for Drift in a Time Series 

      Busetti, Fabio; Harvey, Andrew C. (2004-06-16)
      The paper presents various tests for assessing whether a time series is subject to drift. We first consider departures from the null hypothesis of no drift against the alternative of a deterministic and/or a non-stationary ...
    • Tests of time-invariance 

      Busetti, Fabio; Harvey, Andrew C. (Faculty of Economics, University of Cambridge, UK, 2007-03)
      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 ...
    • When is a copula constant? A test for changing relationships 

      Busetti, Fabio; Harvey, Andrew C. (Faculty of Economics, University of Cambridge, UK, 2008-09)