Testing Mean Stability of Heteroskedastic Time Series
针对经济和金融数据中常见的均值和方差不稳定问题，提出并研究了实用易行的统计检验方法，用于检测非相关和序列相关时间序列的均值与方差稳定性，并应用于股票市场回报的波动性分析。
ABSTRACT Time series models are often fitted to the data without preliminary checks for stability of the mean and variance, conditions that may not hold in much economic and financial data, particularly over long periods. Ignoring such shifts may result in fitting models with spurious dynamics that lead to unsupported and controversial conclusions about time dependence, causality, and the effects of unanticipated shocks. In spite of what may seem as obvious differences between a time series of independent variates with changing variance and a stationary conditionally heteroskedastic (GARCH) process, such processes may be hard to distinguish in applied work using basic time series diagnostic tools. We develop and study some practical and easily implemented statistical procedures to test the mean and variance stability of uncorrelated and serially dependent time series. Application of the new methods to analyze the volatility properties of stock market returns leads to some unexpectedly surprising findings concerning the advantages of modeling time‐varying changes in unconditional variance.