Testing for a unit root in the presence of a variance shift
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Publication:1127407
DOI10.1016/S0165-1765(97)00245-0zbMATH Open0903.90022MaRDI QIDQ1127407FDOQ1127407
Authors: Shigeyuki Hamori, Akira Tokihisa 
Publication date: 13 August 1998
Published in: Economics Letters (Search for Journal in Brave)
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- Unit Root Tests under Time-Varying Variances
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- 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
- Seasonal integration and cointegration
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Testing for a unit root in time series regression
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- 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
- Hypothesis Testing in ARIMA(p, 1, q) Models
Cited In (44)
- Testing the Null of Co-integration in the Presence of Variance Breaks
- Adaptive long memory testing under heteroskedasticity
- The robustness of modified unit root tests in the presence of GARCH
- Adaptive estimation of autoregressive models with time-varying variances
- Heteroskedasticity-robust unit root testing for trending panels
- Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
- Forward detrending for heteroskedasticity-robust panel unit root testing
- Testing for unit roots in time series models with non-stationary volatility
- A simple heteroscedasticity removing filter
- Nonstationary-volatility robust panel unit root tests and the great moderation
- Behavior of the Size in the Unit Root Testing Under Contamination
- Asymptotics for unit root tests under Markov regime‐switching
- Unit root testing with slowly varying trends
- Heteroskedasticity-robust testing for a fractional unit root
- Title not available (Why is that?)
- On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance
- Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
- Cointegration, variance shifts and the limiting distribution of the OLS estimator
- Spurious regression
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
- Testing for cointegration in the presence of mis-specified structural change
- Unit root tests in the presence of multi-variance break and level shifts that have power against the piecewise stationary alternative
- Testing for a unit root in variables with a double change in the mean
- Wild bootstrap tests for unit root in ESTAR models
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- Unit root tests and dramatic shifts with infinite variance processes
- Bootstrapping Autoregression under Non-stationary Volatility
- Unit root tests with a break in innovation variance.
- Cointegrating regressions with time heterogeneity
- Testing stationarity under a permanent variance shift
- Cointegrating rank selection in models with time-varying variance
- Lagrange multiplier unit root test in the presence of a break in the innovation variance
- On the performance of the variance ratio unit root tests with flexible Fourier form
- Spurious regression due to neglected of non-stationary volatility
- Unit Root Tests under Time-Varying Variances
- A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
- A simple nonstationary-volatility robust panel unit root test
- Joint Hypothesis Tests for a Unit Root When There is a Break in the Innovation Variance
- The size performance of a nonparametric unit root test under a variance shift
- Inference in Autoregression under Heteroskedasticity
- Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)
- STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
- Testing for unit roots in the presence of uncertainty over both the trend and initial condition
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