In this paper, we propose a new nonparametric testing procedure to examine the stationarity property of an underlying continuous-time Markov process. The stationarity is often assumed in building/estimating dynamic models in economics and nance. However, existing statistical methods to check the stationarity typically rely on a particular parametric assumption called a unit root. The unit-root concept is well de ned for a certain class of parametric models in discrete time settings (e.g… CONTINUE READING