Testing for unit roots in time series models with non-stationary volatility

DOI10.1016/j.jeconom.2006.07.019zbMath1247.91131OpenAlexW2011111930MaRDI QIDQ451288

Giuseppe Cavaliere, A. M. Robert Taylor

Publication date: 23 September 2012

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.019

zbMATH Keywords

integrated processunit root testnon-stationary volatilityvariance profile

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (74)

Empirical likelihood inference in autoregressive models with time-varying variances ⋮ Multivariate trend function testing with mixed stationary and integrated disturbances ⋮ On robust testing for trend ⋮ Nonstationary-volatility robust panel unit root tests and the great moderation ⋮ The limit distribution of the estimates in cointegrated regression models with multiple structural changes ⋮ Testing for a change in persistence in the presence of non-stationary volatility ⋮ Forecasting cointegrated nonstationary time series with time-varying variance ⋮ Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics ⋮ On the Transmission of Memory in Garch‐in‐Mean Models ⋮ Lagrange multiplier unit root test in the presence of a break in the innovation variance ⋮ Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility ⋮ A nonparametric unit root test under nonstationary volatility ⋮ PORTMANTEAU AUTOCORRELATION TESTS UNDER Q -DEPENDENCE AND HETEROSKEDASTICITY ⋮ Two simple tests of the trend hypothesis under time-varying variance ⋮ Nonlinear IV panel unit root testing under structural breaks in the error variance ⋮ Corrected portmanteau tests for VAR models with time-varying variance ⋮ Order selection for heteroscedastic autoregression: a study on concentration ⋮ A WILD BOOTSTRAP FOR DEPENDENT DATA ⋮ Bootstrapping Autoregression under Non-stationary Volatility ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Wild bootstrap tests for unit root in ESTAR models ⋮ Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form ⋮ Forward detrending for heteroskedasticity-robust panel unit root testing ⋮ On the asymptotic behavior of bubble date estimators ⋮ A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility ⋮ Testing for explosive bubbles: a review ⋮ Bounded unit root processes with non-stationary volatility ⋮ Robust testing for explosive behavior with strongly dependent errors ⋮ Spurious regressions driven by excessive volatility ⋮ Testing for unit roots in time series models with non-stationary volatility ⋮ Power monotonicity in detecting volatility levels change ⋮ Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series ⋮ Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem ⋮ BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS ⋮ Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model ⋮ Testing for common breaks in a multiple equations system ⋮ HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT ⋮ Robustifying multivariate trend tests to nonstationary volatility ⋮ Cointegrating rank selection in models with time-varying variance ⋮ Cointegrating Regressions with Time Heterogeneity ⋮ Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility ⋮ Nuisance parameter free inference on cointegration parameters in the presence of a variance shift ⋮ Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility ⋮ Statistical inference for autoregressive models under heteroscedasticity of unknown form ⋮ Testing for unit roots in bounded time series ⋮ Inference on co-integration parameters in heteroskedastic vector autoregressions ⋮ A reexamination of stock return predictability ⋮ Testing for co-integration in vector autoregressions with non-stationary volatility ⋮ Modified tests for change points in variance in the possible presence of mean breaks ⋮ Recursive adjusted unit root tests under non-stationary volatility ⋮ Bootstrapping non-stationary stochastic volatility ⋮ Cointegration in high frequency data ⋮ Testing for no-cointegration under time-varying variance ⋮ TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY ⋮ BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY ⋮ Semiparametric cointegrating rank selection ⋮ TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND ⋮ HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT ⋮ Heteroskedasticity‐Robust Unit Root Testing for Trending Panels ⋮ Limit theory for moderate deviation from integrated GARCH processes ⋮ Unit root testing with slowly varying trends ⋮ Non-parametric seasonal unit root tests under periodic non-stationary volatility ⋮ A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS ⋮ Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility ⋮ Testing explosive bubbles with time-varying volatility ⋮ Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets ⋮ Testing for a unit root with nonstationary nonlinear heteroskedasticity ⋮ Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions ⋮ Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances ⋮ Inference on locally ordered breaks in multiple regressions ⋮ Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets ⋮ Inference in Autoregression under Heteroskedasticity ⋮ LEAST SQUARES ESTIMATION FOR NONLINEAR REGRESSION MODELS WITH HETEROSCEDASTICITY ⋮ A new limit result in change point analysis

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Testing for unit roots in time series models with non-stationary volatility
• Testing for a unit root in the presence of a variance shift
• Asymptotics for linear processes
• Consistent autoregressive spectral estimates
• Unit root tests with a break in innovation variance.
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Unit Root Tests under Time-Varying Variances
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Asymptotics for unit root tests under Markov regime‐switching
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Time Series Regression with a Unit Root
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Regression with Nonstationary Volatility
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Efficient Tests for an Autoregressive Unit Root
• Tests for Unit Roots and the Initial Condition

This page was built for publication: Testing for unit roots in time series models with non-stationary volatility