The performance of unit root tests under level-dependent heteroskedasticity
DOI10.1016/J.ECONLET.2005.05.035zbMATH Open1254.91736OpenAlexW2046374036MaRDI QIDQ1928705FDOQ1928705
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
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Cites Work
- A theory of the term structure of interest rates
- Strict stationarity of generalized autoregressive processes
- Nonparametric tests for unit roots and cointegration.
- Title not available (Why is that?)
- Estimation and Testing Stationarity for Double-Autoregressive Models
- Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
Cited In (11)
- On the Transmission of Memory in Garch‐in‐Mean Models
- The robustness of modified unit root tests in the presence of GARCH
- Bounded unit root processes with non-stationary volatility
- Heteroskedasticity-robust testing for a fractional unit root
- A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment
- Title not available (Why is that?)
- Testing for unit roots in bounded time series
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
- A unit root test for an AR(1) process with AR errors by using random weighted bootstrap
- On the choice of test for a unit root when the errors are conditionally heteroskedastic
- A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity
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