How is the t test used for testing the stationarity of time series. I have tried to search literature which says that if the mean , standard deviation and higher moments of the partitioned time series are not significantly different it can be called a stationary series, but I do not find it enough to perform the quantitative test myself
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$\begingroup$ What do you think about my answer? Does it answer your question? If so, you may accept it by clicking on the tick mark to the left. Otherwise, you may ask for further clarification. This is how Cross Validated works. $\endgroup$– Richard HardyCommented May 2, 2020 at 6:24
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You test agaist specific alternatives, e.g. changing mean, changing variance, changing higher moments. For each one, one or more tests exist, and they are not necessary based on the $t$-test. The closest one could be the augmented Dickey-Fuller test with a $t$-statistic following a nonstandard distribution under the null hypothesis of presence of a unit root (a type of nonstationarity in the mean).
answered Mar 29, 2020 at 18:36