Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
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Publication:3608199
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Cites work
- scientific article; zbMATH DE number 897115 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Asymptotics for linear processes
- Consistent autoregressive spectral estimates
- Efficient Tests for an Autoregressive Unit Root
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- Stochastic Limit Theory
- Testing for a unit root in the presence of a variance shift
- Testing for covariance stationarity in stock market data
- Testing for unit roots in time series models with non-stationary volatility
- Tests for Unit Roots and the Initial Condition
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Time Series Regression with a Unit Root
- Unit Root Tests under Time-Varying Variances
- Unit root tests with a break in innovation variance.
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
Cited in
(24)- Unit root testing with slowly varying trends
- TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
- A non‐parametric test for multi‐variate trend functions
- Cointegration in high frequency data
- On the correlation analysis of stocks with zero returns
- Heteroskedasticity-robust testing for a fractional unit root
- A Note on Testing Covariance Stationarity
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- Nonstationary-volatility robust panel unit root tests and the great moderation
- Testing for unit roots in time series models with non-stationary volatility
- Nonlinear IV panel unit root testing under structural breaks in the error variance
- Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
- Bayesian unit-root testing in stochastic volatility models with correlated errors
- Bootstrap-assisted unit root testing with piecewise locally stationary errors
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- On the asymptotic behavior of bubble date estimators
- Adaptive long memory testing under heteroskedasticity
- Lagrange multiplier unit root test in the presence of a break in the innovation variance
- Powerful tests for structural changes in volatility
- Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
- Inference on the long-memory properties of time series with non-stationary volatility
- Adaptive estimation of AR(\(\infty\)) models with time-varying variances
- Testing for explosive bubbles: a review
- On the online estimation of local constant volatilities
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