BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
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Recommendations
- Bootstrap union tests for unit roots in the presence of nonstationary volatility
- Testing for unit roots in time series models with non-stationary volatility
- Heteroskedastic time series with a unit root
- Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
- Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
Cites work
- Asymptotics for unit root tests under Markov regime‐switching
- Bootstrap Unit Root Tests
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Efficient Tests for an Autoregressive Unit Root
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- Evaluation of a three-step method for choosing the number of bootstrap repetitions
- Inference in Autoregression under Heteroskedasticity
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- Regression with Nonstationary Volatility
- Sample Splitting and Threshold Estimation
- Testing for a unit root in the presence of a variance shift
- Testing for structural change in conditional models
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- The power of the ADF test
- Time Series Regression with a Unit Root
- Unit Root Tests under Time-Varying Variances
- Unit root tests with a break in innovation variance.
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
Cited in
(59)- Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap
- Nonstationary-volatility robust panel unit root tests and the great moderation
- A nonparametric unit root test under nonstationary volatility
- Inference on the long-memory properties of time series with non-stationary volatility
- A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
- Moving block bootstrapping for a CUSUM test for correlation change
- On bootstrap implementation of likelihood ratio test for a unit root
- Recursive adjusted unit root tests under non-stationary volatility
- Bootstrapping non-stationary stochastic volatility
- Cointegration in high frequency data
- Non-parametric seasonal unit root tests under periodic non-stationary volatility
- Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- Testing for no-cointegration under time-varying variance
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- Testing for unit roots in bounded time series
- Bootstrap tests for parametric volatility structure in nonparametric autoregression
- Testing for a change in persistence in the presence of non-stationary volatility
- 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
- scientific article; zbMATH DE number 5010397 (Why is no real title available?)
- Bootstrapping Autoregression under Non-stationary Volatility
- Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
- Nonlinear IV panel unit root testing under structural breaks in the error variance
- Testing for unit roots in time series models with non-stationary volatility
- Unit root testing with unstable volatility
- Bootstrap-assisted unit root testing with piecewise locally stationary errors
- Unit root inference for non-stationary linear processes driven by infinite variance innovations
- Unit root testing with slowly varying trends
- Testing for structural changes in linear regressions with time-varying variance
- Lag length selection for unit root tests in the presence of nonstationary volatility
- Detrending bootstrap unit root tests
- Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility
- Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
- Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors
- Robustifying multivariate trend tests to nonstationary volatility
- Higher order properties of the wild bootstrap under misspecification
- Adaptive long memory testing under heteroskedasticity
- Bootstrap union tests for unit roots in the presence of nonstationary volatility
- Heteroskedastic time series with a unit root
- 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 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
- A new limit result in change point analysis
- Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
- Testing for explosive bubbles: a review
- Bounded unit root processes with non-stationary volatility
- TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
- On the correlation analysis of stocks with zero returns
- Testing for threshold regulation in presence of measurement error
- Asymptotic inference of the ARMA model with time-functional variance noises
- Adaptive Testing for Cointegration With Nonstationary Volatility
- Testing for nonlinear cointegration under heteroskedasticity
- Orthogonal impulse response analysis in presence of time-varying covariance
- Testing for co-integration in vector autoregressions with non-stationary volatility
- Wild bootstrap tests for unit root in ESTAR models
- Nuisance parameter free inference on cointegration parameters in the presence of a variance shift
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