Nonstationary nonlinear heteroskedasticity in regression

DOI10.1016/j.jeconom.2006.01.002zbMath1360.62543OpenAlexW2019858642MaRDI QIDQ278499

Heetaik Chung, Joon Y. Park

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.ruf.rice.edu/~econ/papers/2004papers/02parkandchung.pdf

zbMATH Keywords

volatilitynonstationary nonlinear heteroskedasticityregression with heteroskedastic errorsspurious regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (15)

On robust testing for trend ⋮ Adaptive estimation of autoregressive models with time-varying variances ⋮ Nonparametric inference for quantile cointegrations with stationary covariates ⋮ Bootstrapping Autoregression under Non-stationary Volatility ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications ⋮ Spurious regressions driven by excessive volatility ⋮ Robustifying multivariate trend tests to nonstationary volatility ⋮ NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS ⋮ Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility ⋮ Inference on co-integration parameters in heteroskedastic vector autoregressions ⋮ A reexamination of stock return predictability ⋮ Partial parametric estimation for nonstationary nonlinear regressions ⋮ Nonstationary nonlinear quantile regression ⋮ Testing for a unit root with nonstationary nonlinear heteroskedasticity

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• Regression with Nonstationary Volatility

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