BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY

DOI10.1017/S0266466608080043zbMATH Open1280.62098MaRDI QIDQ3632371FDOQ3632371

Authors: Giuseppe Cavaliere, A. M. Robert Taylor 

Publication date: 11 June 2009

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

Recommendations

• Bootstrap union tests for unit roots in the presence of nonstationary volatility
• Testing for unit roots in time series models with non-stationary volatility
• Heteroskedastic time series with a unit root
• Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
• Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Testing for structural change in conditional models
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Bootstrap Unit Root Tests
• Time Series Regression with a Unit Root
• Sample Splitting and Threshold Estimation
• 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
• Unit Root Tests under Time-Varying Variances
• Regression with Nonstationary Volatility
• Testing for a unit root in the presence of a variance shift
• Unit root tests with a break in innovation variance.
• Inference in Autoregression under Heteroskedasticity
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Asymptotics for unit root tests under Markov regime‐switching
• Evaluation of a three-step method for choosing the number of bootstrap repetitions
• The power of the ADF test

Cited In (57)

• On the Transmission of Memory in Garch‐in‐Mean Models
• Heteroskedastic time series with a unit root
• Adaptive long memory testing under heteroskedasticity
• Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap
• Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
• Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
• Bootstrapping non-stationary stochastic volatility
• Bounded unit root processes with non-stationary volatility
• Moving block bootstrapping for a CUSUM test for correlation change
• Detrending bootstrap unit root tests
• Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
• Nuisance parameter free inference on cointegration parameters in the presence of a variance shift
• Testing for unit roots in time series models with non-stationary volatility
• Robustifying multivariate trend tests to nonstationary volatility
• Nonstationary-volatility robust panel unit root tests and the great moderation
• Unit root testing with slowly varying trends
• Testing for co-integration in vector autoregressions with non-stationary volatility
• Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
• Bootstrap-assisted unit root testing with piecewise locally stationary errors
• Testing for unit roots in bounded time series
• Testing for a change in persistence in the presence of non-stationary volatility
• Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
• Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
• Title not available (Why is that?)
• Testing for no-cointegration under time-varying variance
• Unit root inference for non-stationary linear processes driven by infinite variance innovations
• Testing for a unit root with nonstationary nonlinear heteroskedasticity
• Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility
• Testing for structural changes in linear regressions with time-varying variance
• Cointegration in high frequency data
• On bootstrap implementation of likelihood ratio test for a unit root
• Wild bootstrap tests for unit root in ESTAR models
• 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
• Bootstrapping Autoregression under Non-stationary Volatility
• A nonparametric unit root test under nonstationary volatility
• Unit root testing with unstable volatility
• Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
• Recursive adjusted unit root tests under non-stationary volatility
• Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors
• A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
• TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
• Bootstrap union tests for unit roots in the presence of nonstationary volatility
• Robust inference for near-unit root processes with time-varying error variances
• Nonlinear IV panel unit root testing under structural breaks in the error variance
• Lag length selection for unit root tests in the presence of nonstationary volatility
• Bootstrap tests for parametric volatility structure in nonparametric autoregression
• Non-parametric seasonal unit root tests under periodic non-stationary volatility
• Higher order properties of the wild bootstrap under misspecification
• A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
• On the correlation analysis of stocks with zero returns
• Testing for explosive bubbles: a review
• A new limit result in change point analysis
• Testing for threshold regulation in presence of measurement error
• Asymptotic inference of the ARMA model with time-functional variance noises
• Adaptive Testing for Cointegration With Nonstationary Volatility
• Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models

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