STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
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Publication:3377445
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- A test for second-order stationarity of a time series based on the discrete Fourier transform
Cites work
- A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
- Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Long-Term Memory in Stock Market Prices
- Testing for a unit root in the presence of a variance shift
- Testing for structural change in conditional models
- Testing for the presence of a random walk in series with structural breaks
- Testing stationarity under a permanent variance shift
- Testing the null hypothesis of stationarity against an autoregressive unit root alternative
- 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?
- Time Series Regression with a Unit Root
- Unit Root Tests under Time-Varying Variances
- Unit root tests with a break in innovation variance.
Cited in
(27)- A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
- Bootstrap procedures for variance breaks test in time series with a changing trend
- Testing stationarity under a permanent variance shift
- Forecasting cointegrated nonstationary time series with time-varying variance
- A Note on Testing Covariance Stationarity
- Model comparisons in unstable environments
- A Bootstrap Stationarity Test for Predictive Regression Invalidity
- Testing Covariance Stationarity
- Testing the Null of Co-integration in the Presence of Variance Breaks
- Bootstrapping Autoregression under Non-stationary Volatility
- Testing for co-integration in vector autoregressions with non-stationary volatility
- Cointegrating rank selection in models with time-varying variance
- Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
- Testing for strict stationarity via the discrete Fourier transform
- Testing for parameter instability in predictive regression models
- Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance
- A test for weak stationarity in the spectral domain
- Tests of strict stationarity based on quantile indicators
- A test for second-order stationarity of a time series based on the maximum of Anderson-Darling statistics
- Adaptive long memory testing under heteroskedasticity
- Lagrange multiplier unit root test in the presence of a break in the innovation variance
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- A test for second-order stationarity of a time series based on the discrete Fourier transform
- Inference on the long-memory properties of time series with non-stationary volatility
- Testing for a change in persistence in the presence of non-stationary volatility
- A robust test for autocorrelation in the presence of a structural break in variance
- Robust testing for explosive behavior with strongly dependent errors
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