STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS

DOI10.1017/S0266466605050553zbMATH Open1083.62084MaRDI QIDQ3377445FDOQ3377445

A. M. Robert Taylor, Giuseppe Cavaliere

Publication date: 22 March 2006

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

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Cites Work

Testing for structural change in conditional models
Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
Testing for the presence of a random walk in series with structural breaks
Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
Long-Term Memory in Stock Market Prices
Time Series Regression 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?
Unit Root Tests under Time-Varying Variances
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
A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
Testing the null hypothesis of stationarity against an autoregressive unit root alternative

Cited In (23)

Testing the Null of Co-integration in the Presence of Variance Breaks
A Bootstrap Stationarity Test for Predictive Regression Invalidity
Testing for co-integration in vector autoregressions with non-stationary volatility
A test for second-order stationarity of a time series based on the maximum of Anderson-Darling statistics
Testing for a change in persistence in the presence of non-stationary volatility
Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
Testing for parameter instability in predictive regression models
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Testing Covariance Stationarity
Robust testing for explosive behavior with strongly dependent errors
Inference on the long-memory properties of time series with non-stationary volatility
A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
Bootstrapping Autoregression under Non-stationary Volatility
Forecasting cointegrated nonstationary time series with time-varying variance
Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance
Cointegrating rank selection in models with time-varying variance
ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY
Lagrange multiplier unit root test in the presence of a break in the innovation variance
A test for second-order stationarity of a time series based on the discrete Fourier transform
Model comparisons in unstable environments
Testing for strict stationarity via the discrete Fourier transform
A robust test for autocorrelation in the presence of a structural break in variance
Tests of strict stationarity based on quantile indicators

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