Testing for unit roots in time series models with non-stationary volatility
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Cites work
- scientific article; zbMATH DE number 48952 (Why is no real title available?)
- scientific article; zbMATH DE number 1944298 (Why is no real title available?)
- scientific article; zbMATH DE number 897115 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- scientific article; zbMATH DE number 957960 (Why is no real title available?)
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Asymptotics for linear processes
- Asymptotics for unit root tests under Markov regime‐switching
- Consistent autoregressive spectral estimates
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Efficient Tests for an Autoregressive Unit Root
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- Regression with Nonstationary Volatility
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Testing for a unit root in the presence of a variance shift
- Testing for a unit root in time series regression
- 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
(81)- Adaptive Testing for Cointegration With Nonstationary Volatility
- Forward detrending for heteroskedasticity-robust panel unit root testing
- A new limit result in change point analysis
- Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises
- New robust inference for predictive regressions
- Asymptotic inference of the ARMA model with time-functional variance noises
- A WILD BOOTSTRAP FOR DEPENDENT DATA
- Prewhitened long-run variance estimation robust to nonstationarity
- Power monotonicity in detecting volatility levels change
- Modified tests for change points in variance in the possible presence of mean breaks
- On the asymptotic behavior of bubble date estimators
- Lagrange multiplier unit root test in the presence of a break in the innovation variance
- Bounded unit root processes with non-stationary volatility
- Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
- Testing for explosive bubbles: a review
- Robust testing for explosive behavior with strongly dependent errors
- Unit root testing with slowly varying trends
- A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
- Non-parametric seasonal unit root tests under periodic non-stationary volatility
- Portmanteau autocorrelation tests under \(q\)-dependence and heteroskedasticity
- Cointegrating regressions with time heterogeneity
- On robust testing for trend
- Robustifying multivariate trend tests to nonstationary volatility
- TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
- Multivariate trend function testing with mixed stationary and integrated disturbances
- Corrected portmanteau tests for VAR models with time-varying variance
- Cointegration in high frequency data
- Forecasting cointegrated nonstationary time series with time-varying variance
- Heteroskedasticity-robust testing for a fractional unit root
- Robust inference for near-unit root processes with time-varying error variances
- A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
- Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
- Spurious regressions driven by excessive volatility
- Inference in Autoregression under Heteroskedasticity
- Order selection for heteroscedastic autoregression: a study on concentration
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
- Inference on co-integration parameters in heteroskedastic vector autoregressions
- Nuisance parameter free inference on cointegration parameters in the presence of a variance shift
- Nonstationary-volatility robust panel unit root tests and the great moderation
- Testing for common breaks in a multiple equations system
- 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
- Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
- Bootstrapping Autoregression under Non-stationary Volatility
- Inference on locally ordered breaks in multiple regressions
- On the Transmission of Memory in Garch‐in‐Mean Models
- Testing for co-integration in vector autoregressions with non-stationary volatility
- Wild bootstrap tests for unit root in ESTAR models
- Cointegrating rank selection in models with time-varying variance
- Limit theory for moderate deviation from integrated GARCH processes
- Recursive adjusted unit root tests under non-stationary volatility
- Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
- Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
- Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
- Heteroskedasticity-robust unit root testing for trending panels
- Least squares estimation for nonlinear regression models with heteroscedasticity
- Bootstrap-assisted unit root testing with piecewise locally stationary errors
- Testing for no-cointegration under time-varying variance
- Two simple tests of the trend hypothesis under time-varying variance
- Heteroskedastic time series with a unit root
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- Lag length selection for unit root tests in the presence of nonstationary volatility
- A nonparametric unit root test under nonstationary volatility
- Towards uniformly efficient trend estimation under weak/strong correlation and non-stationary volatility
- Unit root testing with unstable volatility
- Testing for a unit root in the presence of a possible break in trend
- Semiparametric cointegrating rank selection
- Adaptive long memory testing under heteroskedasticity
- A reexamination of stock return predictability
- Empirical likelihood inference in autoregressive models with time-varying variances
- Bootstrapping non-stationary stochastic volatility
- Testing explosive bubbles with time-varying volatility
- Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
- Testing for unit roots in bounded time series
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- The limit distribution of the estimates in cointegrated regression models with multiple structural changes
- Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
- Testing for a change in persistence in the presence of non-stationary volatility
- Bootstrap union tests for unit roots in the presence of nonstationary volatility
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
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