The size performance of a nonparametric unit root test under a variance shift
From MaRDI portal
Publication:2483450
DOI10.1016/j.spl.2007.09.039zbMath1137.62025OpenAlexW2067736759MaRDI QIDQ2483450
Publication date: 28 April 2008
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2007.09.039
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)
Related Items
Wild bootstrap tests for unit root in ESTAR models, Moving ratio test for multiple changes in persistence
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.
- Nonparametric tests for unit roots and cointegration.
- Testing stationarity under a permanent variance shift
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root