A nonparametric unit root test under nonstationary volatility

DOI10.1016/J.ECONLET.2016.01.005MaRDI QIDQ1668133zbMATH OpenOpenAlexFDO

Authors Burak Alparslan Eroğlu, Taner Yigit

Publication date 3 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11693/36849

zbMATH Keywords

robustunit root testingnonstationary volatilityfractionally integrated time seriesnonparametric unit root testing methodvariance ratio statistic

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
• Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence
• Inference on the long-memory properties of time series with non-stationary volatility
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
• Testing for a unit root in time series regression
• Testing for unit roots in time series models with non-stationary volatility
• The Fractional Unit Root Distribution
• Towards a unified asymptotic theory for autoregression
• Unit Root Tests under Time-Varying Variances
• Weak convergence of multivariate fractional processes

Cited in

(16)

• The size performance of a nonparametric unit root test under a variance shift
• Non-parametric seasonal unit root tests under periodic non-stationary volatility
• Robustifying multivariate trend tests to nonstationary volatility
• A combined nonparametric test for seasonal unit roots
• TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
• scientific article; zbMATH DE number 1396191 (Why is no real title available?)
• Testing of I(\(d\)) statistical models with non-parametric disturbances
• Testing for unit roots in time series models with non-stationary volatility
• Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
• Recursive adjusted unit root tests under non-stationary volatility
• The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications
• Testing for a unit root with nonstationary nonlinear heteroskedasticity
• Unit root testing with unstable volatility
• Bootstrap tests for parametric volatility structure in nonparametric autoregression
• Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility
• A simple nonstationary-volatility robust panel unit root test

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