Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility
From MaRDI portal
Recommendations
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- Bootstrap union tests for unit roots in the presence of nonstationary volatility
- Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
- Recursive adjusted unit root tests under non-stationary volatility
- A nonparametric unit root test under nonstationary volatility
- Wild bootstrap tests for unit root in ESTAR models
- Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
- Bootstrap tests for parametric volatility structure in nonparametric autoregression
- A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
Cited in
(11)- A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
- Cointegration in high frequency data
- Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
- Adaptive estimation of AR(\(\infty\)) models with time-varying variances
- Bootstrap tests for parametric volatility structure in nonparametric autoregression
- Unit root test with high-frequency data
- Testing explosive bubbles with time-varying volatility
- Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
- Adaptive Inference in Heteroscedastic Fractional Time Series Models
- Adaptive Testing for Cointegration With Nonstationary Volatility
- A new heteroskedasticity-robust test for explosive bubbles
This page was built for publication: Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5084371)
