Heteroskedastic time series with a unit root
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Recommendations
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- 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
- Unit Root Tests under Time-Varying Variances
Cites work
- A Sieve Bootstrap For The Test Of A Unit Root
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Adaptive estimation of autoregressive models with time-varying variances
- AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
- ARCH models as diffusion approximations
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS
- Asymptotics for linear processes
- Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
- Bootstrap and wild bootstrap for high dimensional linear models
- Bootstrap procedures under some non-i.i.d. models
- Bootstrap Unit Root Tests
- BootstrapMUnit Root Tests
- Bootstrapping Autoregression under Non-stationary Volatility
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Bootstrapping Autoregressive Processes with Possible Unit Roots
- Bootstrapping general empirical measures
- Bootstrapping unstable first-order autoregressive processes
- Chi-Square Diagnostic Tests for Econometric Models: Theory
- Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
- Dependent central limit theorems and invariance principles
- 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
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- Inference in Autoregression under Heteroskedasticity
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Jackknife, bootstrap and other resampling methods in regression analysis
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Martingale invariance principles
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Nonlinear Regressions with Integrated Time Series
- Nonstationary nonlinear heteroskedasticity.
- On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- Regression with Nonstationary Volatility
- Residual-Based Block Bootstrap for Unit Root Testing
- Stochastic Limit Theory
- Stochastic volatility with leverage: fast and efficient likelihood inference
- Testing for a unit root in time series regression
- Testing for structural change in conditional models
- Testing for unit roots in time series models with non-stationary volatility
- The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes
- The wild bootstrap, tamed at last
- Time Series Regression with a Unit Root
- Towards a unified asymptotic theory for autoregression
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Unit root bootstrap tests for AR (1) models
- Unit Root Tests under Time-Varying Variances
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
- Weak limit theorems for stochastic integrals and stochastic differential equations
Cited in
(44)- On the choice of test for a unit root when the errors are conditionally heteroskedastic
- Nonstationary-volatility robust panel unit root tests and the great moderation
- On bootstrap implementation of likelihood ratio test for a unit root
- Functional central limit theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
- 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
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- Limit theory for moderate deviation from integrated GARCH processes
- 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
- A fixed-b perspective on the Phillips-Perron unit root tests
- A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
- Testing for a change in persistence in the presence of non-stationary volatility
- Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
- Bootstrapping Autoregression under Non-stationary Volatility
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- Lagrange multiplier unit root test in the presence of a break in the innovation variance
- Unit root inference for non-stationary linear processes driven by infinite variance innovations
- Time Series Regression with a Unit Root
- Least squares estimation for nonlinear regression models with heteroscedasticity
- Lag length selection for unit root tests in the presence of nonstationary volatility
- Bootstrap inference for GARCH models by the least absolute deviation estimation
- Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
- A hybrid bootstrap approach to unit root tests
- IV-based cointegration testing in dependent panels with time-varying variance
- Adaptive long memory testing under heteroskedasticity
- Bootstrap union tests for unit roots in the presence of nonstationary volatility
- A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- Robust inference for near-unit root processes with time-varying error variances
- Inference on co-integration parameters in heteroskedastic vector autoregressions
- A WILD BOOTSTRAP FOR DEPENDENT DATA
- Inference in Heavy-Tailed Nonstationary Multivariate Time Series
- Testing for explosive bubbles: a review
- Likelihood ratio test for change in persistence
- Bounded unit root processes with non-stationary volatility
- TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
- New robust inference for predictive regressions
- Nonlinear cointegrating regressions with nonstationary nonlinear heteroskedasticity
- Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises
- Limit theory for an AR(1) model with intercept and a possible infinite variance
- On the online estimation of local constant volatilities
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