The size performance of a nonparametric unit root test under a variance shift
DOI10.1016/J.SPL.2007.09.039zbMATH Open1137.62025OpenAlexW2067736759MaRDI QIDQ2483450FDOQ2483450
Authors: Daiki Maki 
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
Recommendations
- Testing for a unit root in the presence of a variance shift
- A nonparametric unit root test under nonstationary volatility
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- Size and power properties of powerful unit root tests in the presence of variance breaks
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20)
Cites Work
- Distribution of the Estimators for Autoregressive Time Series 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?
- Nonparametric tests for unit roots and cointegration.
- Testing for a unit root in the presence of a variance shift
- Unit root tests with a break in innovation variance.
- Testing stationarity under a permanent variance shift
Cited In (5)
- Behavior of the Size in the Unit Root Testing Under Contamination
- Wild bootstrap tests for unit root in ESTAR models
- Moving ratio test for multiple changes in persistence
- On the performance of the variance ratio unit root tests with flexible Fourier form
- The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications
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