Testing for a unit root in the presence of a variance shift
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Recommendations
- Unit Root Tests under Time-Varying Variances
- Unit root tests with a break in innovation variance.
- Unit root tests and dramatic shifts with infinite variance processes
- The size performance of a nonparametric unit root test under a variance shift
- Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative
Cites work
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Hypothesis Testing in ARIMA(p, 1, q) Models
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Seasonal integration and cointegration
- Testing for a unit root in time series regression
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Cited in
(44)- Testing for cointegration in the presence of mis-specified structural change
- Unit root testing with slowly varying trends
- The size performance of a nonparametric unit root test under a variance shift
- Unit Root Tests under Time-Varying Variances
- On the performance of the variance ratio unit root tests with flexible Fourier form
- Cointegrating regressions with time heterogeneity
- Forward detrending for heteroskedasticity-robust panel unit root testing
- Testing stationarity under a permanent variance shift
- Heteroskedasticity-robust testing for a fractional unit root
- Unit root tests in the presence of multi-variance break and level shifts that have power against the piecewise stationary alternative
- A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
- ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
- Adaptive estimation of autoregressive models with time-varying variances
- Spurious regression due to neglected of non-stationary volatility
- Inference in Autoregression under Heteroskedasticity
- Testing for a unit root in variables with a double change in the mean
- A simple heteroscedasticity removing filter
- Unit root tests and dramatic shifts with infinite variance processes
- Testing the Null of Co-integration in the Presence of Variance Breaks
- Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)
- Cointegration, variance shifts and the limiting distribution of the OLS estimator
- Nonstationary-volatility robust panel unit root tests and the great moderation
- Testing for unit roots in time series models with non-stationary volatility
- Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
- Bootstrapping Autoregression under Non-stationary Volatility
- scientific article; zbMATH DE number 2072436 (Why is no real title available?)
- On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance
- Wild bootstrap tests for unit root in ESTAR models
- Cointegrating rank selection in models with time-varying variance
- Spurious regression
- Unit root tests with a break in innovation variance.
- Heteroskedasticity-robust unit root testing for trending panels
- Joint Hypothesis Tests for a Unit Root When There is a Break in the Innovation Variance
- STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- Behavior of the Size in the Unit Root Testing Under Contamination
- Asymptotics for unit root tests under Markov regime‐switching
- Adaptive long memory testing under heteroskedasticity
- Lagrange multiplier unit root test in the presence of a break in the innovation variance
- Testing for unit roots in the presence of uncertainty over both the trend and initial condition
- A simple nonstationary-volatility robust panel unit root test
- Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- The robustness of modified unit root tests in the presence of GARCH
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