Unit root testing with unstable volatility
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Publication:4556512
Recommendations
- Testing for unit roots in time series models with non-stationary volatility
- A nonparametric unit root test under nonstationary volatility
- Unit Root Tests under Time-Varying Variances
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
Cited in
(16)- Unit root testing with slowly varying trends
- Adaptive Testing for Cointegration With Nonstationary Volatility
- Forward detrending for heteroskedasticity-robust panel unit root testing
- Cointegration in high frequency data
- Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility
- Adaptive Inference in Heteroscedastic Fractional Time Series Models
- Testing for a unit root under stable distribution with scale changes
- Nonstationary-volatility robust panel unit root tests and the great moderation
- Testing for unit roots in time series models with non-stationary volatility
- Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
- Recursive adjusted unit root tests under non-stationary volatility
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- A nonparametric unit root test under nonstationary volatility
- Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
- Testing for an unstable root in conditional and structural error correction models
- Artifactual unit root behavior of value at risk (VaR)
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