Unit root tests and dramatic shifts with infinite variance processes
From MaRDI portal
Publication:3184468
DOI10.1080/02664760802554321zbMath1473.62310MaRDI QIDQ3184468
Publication date: 21 October 2009
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02664760802554321
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M07: Non-Markovian processes: hypothesis testing
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Variance ratio tests of the seasonal unit root hypothesis
- 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?
- Cointegrated processes with infinite variance innovations
- Tests for cointegration with infinite variance errors
- Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
- Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
- Unit root tests with a break in innovation variance.
- Nonparametric tests for unit roots and cointegration.
- Rescaled variance and related tests for long memory in volatility and levels
- What is an oil shock?
- Testing stationarity under a permanent variance shift
- Point processes, regular variation and weak convergence
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- SPURIOUS REGRESSION BETWEEN I(1) PROCESSES WITH INFINITE VARIANCE ERRORS
- Time Series Regression with a Unit Root
- Testing stationarity and trend stationarity against the unit root hypothesis
