Unit root testing in the presence of innovation variance breaks: a simple solution with increased power

DOI10.1155/S1110757X02107029zbMATH Open1107.62358MaRDI QIDQ1848019FDOQ1848019

Authors: Steven Cook 

Publication date: 29 October 2002

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/53040

Recommendations

• Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative
• Size and power properties of powerful unit root tests in the presence of variance breaks
• Unit Root Tests under Time-Varying Variances
• Unit root tests with a break in innovation variance.
• Joint Hypothesis Tests for a Unit Root When There is a Break in the Innovation Variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cited In (10)

• Size and power properties of powerful unit root tests in the presence of variance breaks
• The robustness of modified unit root tests in the presence of GARCH
• Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
• On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance
• Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative
• Panel data unit root test with structural break: a Bayesian approach
• Title not available (Why is that?)
• Unit root tests with a break in innovation variance.
• Lagrange multiplier unit root test in the presence of a break in the innovation variance
• Joint Hypothesis Tests for a Unit Root When There is a Break in the Innovation Variance

This page was built for publication: Unit root testing in the presence of innovation variance breaks: a simple solution with increased power

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1848019)