A score statistic for testing the presence of a stochastic trend in conditional variances
DOI10.1016/J.ECONLET.2022.110394zbMATH Open1490.62215OpenAlexW4213061072MaRDI QIDQ2127331FDOQ2127331
Authors: Yongmiao Hong, Brendan McCabe, Jiajing Sun, Oliver Linton 
Publication date: 20 April 2022
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2022.110394
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Cites Work
- Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
- Testing and Locating Variance Changepoints with Application to Stock Prices
- Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
- ARCH models as diffusion approximations
- Towards a unified asymptotic theory for autoregression
- Time Series Regression with a Unit Root
- 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?
- A functional central limit theorem for weakly dependent sequences of random variables
- Testing for unit roots in autoregressive-moving average models of unknown order
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Central limit theorems for additive functionals of Markov chains.
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Trends and random walks in macroeconomic time series
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- Analysis of financial time series
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