Unit root testing with slowly varying trends (Q4997689)

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scientific article; zbMATH DE number 7364922

Language	Label	Description	Also known as
English	Unit root testing with slowly varying trends	scientific article; zbMATH DE number 7364922

Statements

scholarly article

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Unit root testing with slowly varying trends (English)

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Journal of Time Series Analysis

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publication date

30 June 2021

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full work available at URL

https://arxiv.org/abs/2003.04066

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zbMATH Keywords

unit root tests

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nonlinear trends

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heteroskedasticity

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MaRDI profile type

MaRDI publication profile

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Unit Root Testing with Unstable Volatility

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A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks

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Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate

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Panel unit root tests under cross‐sectional dependence

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Unit Root Tests under Time-Varying Variances

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TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY

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

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BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY

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Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility

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ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS

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(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?

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Distribution of the Estimators for Autoregressive Time Series With a Unit Root

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Efficient Tests for an Autoregressive Unit Root

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Testing for a unit root in the presence of a variance shift

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On testing for unit roots and the initial observation

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Power of a Unit-Root Test and the Initial Condition

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On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability

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Testing for a unit root in the nonlinear STAR framework

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A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS

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Testing for a unit root in a stationary ESTAR process

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Unit root tests with a break in innovation variance.

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Unit root tests in panel data: asymptotic and finite-sample properties

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Unit roots and smooth transitions

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Tests for Unit Roots and the Initial Condition

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Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

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The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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Time Series Regression with a Unit Root

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Testing for a unit root in time series regression

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Inference in Autoregression under Heteroskedasticity

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Estimation methods for the LRD parameter under a change in the mean

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Testing for unit roots in autoregressive-moving average models of unknown order

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Identifiers

zbMATH Open document ID

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10.1111/jtsa.12557

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:4997689

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