Unit Root Tests under Time-Varying Variances

DOI10.1081/ETC-200028215zbMath1133.62350MaRDI QIDQ3157845

Giuseppe Cavaliere

Publication date: 19 January 2005

Published in: Econometric Reviews (Search for Journal in Brave)

zbMATH Keywords

Brownian motion; Dickey-Fuller test

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60F05: Central limit and other weak theorems

Related Items

Mixing Conditions, Central Limit Theorems, and Invariance Principles: A Survey of the Literature with Some New Results on Heteroscedastic Sequences, STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS, Semiparametric cointegrating rank selection, Testing the Null of Co-integration in the Presence of Variance Breaks, Inference in Autoregression under Heteroskedasticity, Bootstrapping Autoregression under Non-stationary Volatility, Cointegrating Regressions with Time Heterogeneity, Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility, BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY, HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT

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