Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
DOI10.1111/J.1467-9892.2007.00557.XzbMATH Open1165.62064OpenAlexW2055337627MaRDI QIDQ3608199FDOQ3608199
Authors: Giuseppe Cavaliere, A. M. Robert Taylor 
Publication date: 28 February 2009
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00557.x
Recommendations
- A nonparametric unit root test under nonstationary volatility
- Testing for unit roots in time series models with non-stationary volatility
- Unit root testing with unstable volatility
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Stochastic Limit Theory
- Title not available (Why is that?)
- Asymptotics for linear processes
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- Consistent autoregressive spectral estimates
- Time Series Regression with a Unit Root
- Title not available (Why is that?)
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Efficient Tests for an Autoregressive Unit Root
- Tests for Unit Roots and the Initial Condition
- Unit Root Tests under Time-Varying Variances
- Testing for unit roots in time series models with non-stationary volatility
- Testing for a unit root in the presence of a variance shift
- Unit root tests with a break in innovation variance.
- Testing for covariance stationarity in stock market data
Cited In (24)
- TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
- On the correlation analysis of stocks with zero returns
- Adaptive long memory testing under heteroskedasticity
- On the asymptotic behavior of bubble date estimators
- Testing for explosive bubbles: a review
- Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
- Testing for unit roots in time series models with non-stationary volatility
- Nonstationary-volatility robust panel unit root tests and the great moderation
- Unit root testing with slowly varying trends
- Heteroskedasticity-robust testing for a fractional unit root
- Bootstrap-assisted unit root testing with piecewise locally stationary errors
- A non‐parametric test for multi‐variate trend functions
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- Adaptive estimation of AR(\(\infty\)) models with time-varying variances
- Cointegration in high frequency data
- Inference on the long-memory properties of time series with non-stationary volatility
- Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
- On the online estimation of local constant volatilities
- Lagrange multiplier unit root test in the presence of a break in the innovation variance
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- Nonlinear IV panel unit root testing under structural breaks in the error variance
- A Note on Testing Covariance Stationarity
- Bayesian unit-root testing in stochastic volatility models with correlated errors
- Powerful tests for structural changes in volatility
This page was built for publication: Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3608199)
