Testing stationarity under a permanent variance shift
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Publication:1927446
DOI10.1016/j.econlet.2003.08.014zbMath1254.91641MaRDI QIDQ1927446
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
Related Items
Adaptive estimation of autoregressive models with time-varying variances, Testing for a change in persistence in the presence of non-stationary volatility, Wild bootstrap tests for unit root in ESTAR models, The size performance of a nonparametric unit root test under a variance shift, Unit root tests and dramatic shifts with infinite variance processes, STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS, Testing the Null of Co-integration in the Presence of Variance Breaks, Bootstrapping Autoregression under Non-stationary Volatility
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