Testing for unit roots in time series models with non-stationary volatility (Q451288): Difference between revisions

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-A. M. Robert Taylor
@@ Property / author: A. M. Robert Taylor / rank @@
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@@ Property / author @@
+A. M. Robert Taylor
@@ Property / author: A. M. Robert Taylor / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B82
@@ Property / Mathematics Subject Classification ID: 91B82 / rank @@
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@@ Property / zbMATH DE Number @@
+6085412
@@ Property / zbMATH DE Number: 6085412 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+unit root test
@@ Property / zbMATH Keywords: unit root test / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+integrated process
@@ Property / zbMATH Keywords: integrated process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+non-stationary volatility
@@ Property / zbMATH Keywords: non-stationary volatility / rank @@
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@@ Property / zbMATH Keywords @@
+variance profile
@@ Property / zbMATH Keywords: variance profile / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2006.07.019
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@@ Property / OpenAlex ID @@
+W2011111930
@@ Property / OpenAlex ID: W2011111930 / rank @@
+Normal rank
@@ Property / cites work @@
+Consistent autoregressive spectral estimates
@@ Property / cites work: Consistent autoregressive spectral estimates / rank @@
+Normal rank
@@ Property / cites work @@
+Q5560061
@@ Property / cites work: Q5560061 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotics for unit root tests under Markov regime‐switching
+Normal rank
@@ Property / cites work @@
+Unit Root Tests under Time-Varying Variances
@@ Property / cites work: Unit Root Tests under Time-Varying Variances / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for unit roots in time series models with non-stationary volatility
+Normal rank
@@ Property / cites work @@
+ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
@@ Property / cites work: ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS / rank @@
+Normal rank
@@ Property / cites work @@
+Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
+Normal rank
@@ Property / cites work @@
+A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
+Normal rank
@@ Property / cites work @@
+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
+Normal rank
@@ Property / cites work @@
+Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
+Normal rank
@@ Property / cites work @@
+Efficient Tests for an Autoregressive Unit Root
@@ Property / cites work: Efficient Tests for an Autoregressive Unit Root / rank @@
+Normal rank
@@ Property / cites work @@
+Q4884570
@@ Property / cites work: Q4884570 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for a unit root in the presence of a variance shift
+Normal rank
@@ Property / cites work @@
+Regression with Nonstationary Volatility
@@ Property / cites work: Regression with Nonstationary Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
+Normal rank
@@ Property / cites work @@
+Unit root tests with a break in innovation variance.
+Normal rank
@@ Property / cites work @@
+Q4407590
@@ Property / cites work: Q4407590 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
+Normal rank
@@ Property / cites work @@
+Tests for Unit Roots and the Initial Condition
@@ Property / cites work: Tests for Unit Roots and the Initial Condition / rank @@
+Normal rank
@@ Property / cites work @@
+LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
+Normal rank
@@ Property / cites work @@
+The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
+Normal rank
@@ Property / cites work @@
+Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
+Normal rank
@@ Property / cites work @@
+Time Series Regression with a Unit Root
@@ Property / cites work: Time Series Regression with a Unit Root / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for a unit root in time series regression
@@ Property / cites work: Testing for a unit root in time series regression / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotics for linear processes
@@ Property / cites work: Asymptotics for linear processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q3997782
@@ Property / cites work: Q3997782 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5687551
@@ Property / cites work: Q5687551 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:451288