Testing stationarity under a permanent variance shift

DOI10.1016/j.econlet.2003.08.014zbMath1254.91641OpenAlexW2084122531MaRDI QIDQ1927446

Giuseppe Cavaliere

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2003.08.014

zbMATH Keywords

stationarity testsstructural breaksintegrated processes

Mathematics Subject Classification ID

Economic time series analysis (91B84) Analysis of variance and covariance (ANOVA) (62J10)

Related Items

Adaptive estimation of autoregressive models with time-varying variances ⋮ Testing for a change in persistence in the presence of non-stationary volatility ⋮ Unit root tests and dramatic shifts with infinite variance processes ⋮ Bootstrapping Autoregression under Non-stationary Volatility ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Wild bootstrap tests for unit root in ESTAR models ⋮ The size performance of a nonparametric unit root test under a variance shift ⋮ STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS ⋮ Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets ⋮ Testing the Null of Co-integration in the Presence of Variance Breaks

Cites Work

• 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?
• Testing for a unit root in the presence of a variance shift
• Unit root tests with a break in innovation variance.
• Asymptotics for unit root tests under Markov regime‐switching