scientific article; zbMATH DE number 2072436

MaRDI QIDQ4467690zbMATH OpenFDO

Authors Akira Tokihisa, Shigeyuki Hamori

Publication date 10 June 2004

zbMATH Keywords

generalized least squarestables

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Unit Root Tests under Time-Varying Variances
• Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
• On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
• Testing for a unit root in the presence of a variance shift
• The performance of unit root tests under level-dependent heteroskedasticity

Cited in

(8)

• Heteroskedastic cointegration
• Distribution theory for unit root tests with conditional heteroskedasticity
• On the choice of test for a unit root when the errors are conditionally heteroskedastic
• The performance of unit root tests under level-dependent heteroskedasticity
• The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations
• Unit Roots, Cointegration, and Pretesting in Var Models
• TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
• Joint detection of unit roots and cointegration: data-based simulation

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