Check the following papers by Mahmoud A. El-Gamal
“A Consistent Nonparametric Test of Stationary Ergodicity for Time Series withApplications,” (with Ian Domowitz), Journal of Econometrics 102, 2001, pp. 365398.
“A Consistent Test of StationaryErgodicity,”(with Ian Domowitz), Econometric Theory 9(4), 1993, pp. 589601.
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Monday, April 6, 2009
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