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《Statistics & Decision》 2018-17
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Spurious Tests to Heteroscedastic Time Series With PP Test

Tian Xingyu;Li Chuanjin;School of Languages and Cultures, Ningde Normal University;School of Civil Engineering,Fujian University of Technology;  
This paper studies whether Phillips-Perron test(PP) identifies the stationarity of time series with variance mutation. By constructing such five time series as mean variance unchanged, mean variance mutation, variance mutation, variance increasing and variance decreasing, the paper uses the method of time series, autocorrelation and PP test to study the stationarity of these sequences. The results show that for time series with heteroscedasticity, the pseudo test appears in PP test. Therefore, PP test should be used with caution for heteroscedasal sequences. It is recommended to include variance mutation in the category of structural mutation.
【Fund】: 福建省社会科学规划青年项目(FJ2017C093);; 福建省自然科学基金高校联合资助面上项目(2018J01620)
【CateGory Index】: C81
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