Joint Hypothesis Tests for a Unit Root When There is a Break in the Innovation Variance
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Publication:3505324
DOI10.1111/j.1467-9892.2007.00530.xzbMath1150.62050MaRDI QIDQ3505324
Publication date: 18 June 2008
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00530.x
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62F03: Parametric hypothesis testing
Cites Work
- On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance
- Testing for a unit root in the presence of a variance shift
- Unit root tests with a break in innovation variance.
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis