Heteroskedasticity-robust testing for a fractional unit root
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Cites work
- A Fractional Dickey-Fuller Test for Unit Roots
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Adaptive estimation of autoregressive models with time-varying variances
- Alternative forms of fractional Brownian motion
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Efficient Tests of Nonstationary Hypotheses
- Efficient Wald Tests for Fractional Unit Roots
- Heteroscedasticity in Models with Lagged Dependent Variables
- Inference in Autoregression under Heteroskedasticity
- Inference on the cointegration rank in fractionally integrated processes.
- LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE
- LONG MEMORY TESTING IN THE TIME DOMAIN
- Minimum distance estimation of stationary and non‐stationary ARFIMA processes
- On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
- Optimal Fractional Dickey–Fuller tests
- Regression with Nonstationary Volatility
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Testing for a unit root in the presence of a variance shift
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Testing for unit roots in time series models with non-stationary volatility
- THE NONSTATIONARY FRACTIONAL UNIT ROOT
- Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
- Unit Root Tests under Time-Varying Variances
- Unit root tests with a break in innovation variance.
Cited in
(16)- On the choice of test for a unit root when the errors are conditionally heteroskedastic
- Testing for persistence change in fractionally integrated models: an application to world inflation rates
- Inference on the long-memory properties of time series with non-stationary volatility
- Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
- The performance of unit root tests under level-dependent heteroskedasticity
- Asymptotic normal tests for integration in panels with cross-dependent units
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- A consistent test for unit root against fractional alternative
- Testing unit roots and long range dependence of foreign exchange
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- On the Dickey-Fuller test with white standard errors
- Infant mortality rates: time trends and fractional integration
- Adaptive long memory testing under heteroskedasticity
- Fractional differencing in discrete time
- Orthogonal impulse response analysis in presence of time-varying covariance
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