The performance of unit root tests under level-dependent heteroskedasticity

DOI10.1016/J.ECONLET.2005.05.035MaRDI QIDQ1928705zbMATH OpenOpenAlexFDO

Authors Paulo M. M. Rodrigues, Antonio Rubia

Publication date 3 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2005.05.035

zbMATH Keywords

nonparametric testinterest ratesCKLSDF testdouble-autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Unit Root Tests under Time-Varying Variances
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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• A theory of the term structure of interest rates
• Estimation and Testing Stationarity for Double-Autoregressive Models
• Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
• Nonparametric tests for unit roots and cointegration.
• Strict stationarity of generalized autoregressive processes

Cited in

(11)

• Heteroskedasticity-robust testing for a fractional unit root
• A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
• A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity
• On the Transmission of Memory in Garch‐in‐Mean Models
• scientific article; zbMATH DE number 2072436 (Why is no real title available?)
• A unit root test for an AR(1) process with AR errors by using random weighted bootstrap
• A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment
• On the choice of test for a unit root when the errors are conditionally heteroskedastic
• Bounded unit root processes with non-stationary volatility
• Testing for unit roots in bounded time series
• The robustness of modified unit root tests in the presence of GARCH

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