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UID:event-9506@www.amse-aixmarseille.fr
DTSTAMP:20260422T120042Z
CREATED:20260422T120042Z
LAST-MODIFIED:20260422T120042Z
STATUS:CONFIRMED
SEQUENCE:0
SUMMARY:French-Japanese webinar - Frédérique Bec
DTSTART:20221021T080000Z
DTEND:20221021T090000Z
DESCRIPTION:The increasing sophistication of economic and financial time se
 ries modelling creates a need for a test of the time dependence structure o
 f the series which does not require a proper specifcation of the alternativ
 e. Indeed\, the latter is unknown beforehand. Yet\, the stationarity has to
  be established before proceeding to the estimation and testing of causal/n
 oncausal or linear/nonlinear models as their econometric theory has been de
 veloped under the maintained assumption of stationarity. In this paper\, we
  propose a new unit root test statistics which is both asymptotically consi
 stent against all stationary alternatives and still keeps good power proper
 ties in finite sample. A large simulation study is performed to assess the 
 power of our test compared to existing unit root tests built specically for
  various kinds of stationary alternatives\, when the true DGP is either cau
 sal or noncausal\, linear or nonlinear stationary. Based on various sample 
 sizes and degrees of persistence\, it turns out that our new test performs 
 very well in terms of power in fnite sample\, no matter the alternative und
 er consideration.\\n\\nContact: Gilles Dufrénot : gilles.dufrenot[at]scien
 cespo-aix.frKiyotaka Sato : sato[at]ynu.ac.jp\n\nPlus d'informations: http
 s://www.amse-aixmarseille.fr/fr/evenements/fr%C3%A9d%C3%A9rique-bec
URL;VALUE=URI:https://www.amse-aixmarseille.fr/fr/evenements/fr%C3%A9d%C3%A9rique-bec
CONTACT:Gilles Dufrénot : gilles.dufrenot[at]sciencespo-aix.frKiyotaka Sat
 o :&nbsp\;sato[at]ynu.ac.jp
TRANSP:OPAQUE
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