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Test for Covariance Stationarity and White Noise with an Application to euro/us dollar exchange rate

Author

Listed:
  • Ibrahim Ahamada

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, EUREQUA - Equipe Universitaire de Recherche en Economie Quantitative - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Mohamed Boutahar

Abstract

This paper proposes two non parametric tests for stationarity and white noise against the alternative of time-varying covariance structure with an application to euro/US dollar exchange rate. These tests are based on stability of evolutionary spectral density of the process. Graphical methods using the size and power, confirm the efficiency of our approach when compared with other stationarity tests, especially when data are non stationary with an approximately constant variance.

Suggested Citation

  • Ibrahim Ahamada & Mohamed Boutahar, 2002. "Test for Covariance Stationarity and White Noise with an Application to euro/us dollar exchange rate," Post-Print halshs-00272869, HAL.
    • Handle: RePEc:hal:journl:halshs-00272869
    DOI: 10.1016/S0165-1765(02)00123-4
    as

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