Testing stationarity under a permanent variance shift

DOI10.1016/j.econlet.2003.08.014zbMath1254.91641MaRDI QIDQ1927446

Giuseppe Cavaliere

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2003.08.014

zbMATH Keywords

stationarity tests; structural breaks; integrated processes

Mathematics Subject Classification ID

91B84: Economic time series analysis

62J10: Analysis of variance and covariance (ANOVA)

Related Items

ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY, Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets, Adaptive estimation of autoregressive models with time-varying variances, Testing for a change in persistence in the presence of non-stationary volatility, Wild bootstrap tests for unit root in ESTAR models, The size performance of a nonparametric unit root test under a variance shift, Unit root tests and dramatic shifts with infinite variance processes, STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS, Testing the Null of Co-integration in the Presence of Variance Breaks, Bootstrapping Autoregression under Non-stationary Volatility

Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Testing for a unit root in the presence of a variance shift
• Unit root tests with a break in innovation variance.
• Asymptotics for unit root tests under Markov regime‐switching