Testing for unit roots in time series models with non-stationary volatility

DOI10.1016/J.JECONOM.2006.07.019zbMATH Open1247.91131OpenAlexW2011111930MaRDI QIDQ451288FDOQ451288

Authors: Giuseppe Cavaliere, A. M. Robert Taylor 

Publication date: 23 September 2012

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.019

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zbMATH Keywords

unit root testnon-stationary volatilityintegrated processvariance profile

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cited In (81)

• TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
• Corrected portmanteau tests for VAR models with time-varying variance
• Testing for common breaks in a multiple equations system
• On the Transmission of Memory in Garch‐in‐Mean Models
• Heteroskedastic time series with a unit root
• Adaptive long memory testing under heteroskedasticity
• Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
• Empirical likelihood inference in autoregressive models with time-varying variances
• Bootstrapping non-stationary stochastic volatility
• Multivariate trend function testing with mixed stationary and integrated disturbances
• Heteroskedasticity-robust unit root testing for trending panels
• Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
• 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
• Statistical inference for autoregressive models under heteroscedasticity of unknown form
• Robustifying multivariate trend tests to nonstationary volatility
• Nonstationary-volatility robust panel unit root tests and the great moderation
• A reexamination of stock return predictability
• Unit root testing with slowly varying trends
• On robust testing for trend
• Heteroskedasticity-robust testing for a fractional unit root
• Spurious regressions driven by excessive volatility
• 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
• Semiparametric cointegrating rank selection
• The limit distribution of the estimates in cointegrated regression models with multiple structural changes
• Testing for a change in persistence in the presence of non-stationary volatility
• Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
• Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
• Testing for no-cointegration under time-varying variance
• Testing for a unit root with nonstationary nonlinear heteroskedasticity
• Towards uniformly efficient trend estimation under weak/strong correlation and non-stationary volatility
• Order selection for heteroscedastic autoregression: a study on concentration
• Inference on locally ordered breaks in multiple regressions
• Least squares estimation for nonlinear regression models with heteroscedasticity
• Testing for a unit root in the presence of a possible break in trend
• Cointegration in high frequency data
• Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
• Wild bootstrap tests for unit root in ESTAR models
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
• Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
• Bootstrapping Autoregression under Non-stationary Volatility
• Two simple tests of the trend hypothesis under time-varying variance
• Cointegrating regressions with time heterogeneity
• Forecasting cointegrated nonstationary time series with time-varying variance
• Limit theory for moderate deviation from integrated GARCH processes
• A nonparametric unit root test under nonstationary volatility
• Unit root testing with unstable volatility
• Cointegrating rank selection in models with time-varying variance
• Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
• Inference on co-integration parameters in heteroskedastic vector autoregressions
• Recursive adjusted unit root tests under non-stationary volatility
• A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
• Testing explosive bubbles with time-varying volatility
• 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
• Portmanteau autocorrelation tests under \(q\)-dependence and heteroskedasticity
• Non-parametric seasonal unit root tests under periodic non-stationary volatility
• Inference in Autoregression under Heteroskedasticity
• A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
• Modified tests for change points in variance in the possible presence of mean breaks
• On the asymptotic behavior of bubble date estimators
• Testing for explosive bubbles: a review
• Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
• A WILD BOOTSTRAP FOR DEPENDENT DATA
• Prewhitened long-run variance estimation robust to nonstationarity
• Power monotonicity in detecting volatility levels change
• Bounded unit root processes with non-stationary volatility
• Forward detrending for heteroskedasticity-robust panel unit root testing
• A new limit result in change point analysis
• Asymptotic inference of the ARMA model with time-functional variance noises
• Robust testing for explosive behavior with strongly dependent errors
• Adaptive Testing for Cointegration With Nonstationary Volatility
• Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises
• Lagrange multiplier unit root test in the presence of a break in the innovation variance
• New robust inference for predictive regressions

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