Regression with Nonstationary Volatility
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Publication:4859504
adaptive estimatorautoregressive rootsautoregressive stochastic volatility processesconditional heteroskedasticityconditional variancesgeneralized least squares estimatorintegrated processesleast squares estimateslinear processmartingale difference innovationsnew asymptotic theory of regressionnonstationary time seriesstochastic integrals
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(50)- Distribution theory for unit root tests with conditional heteroskedasticity
- On the choice of test for a unit root when the errors are conditionally heteroskedastic
- Asymptotic theory for regressions with smoothly changing parameters
- Nonstationary nonlinear heteroskedasticity.
- Inference for modulated stationary processes
- Bootstrapping non-stationary stochastic volatility
- Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
- Adaptive estimation of AR(\(\infty\)) models with time-varying variances
- Volatility regressions with fat tails
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
- Nonstationary nonlinear heteroskedasticity in regression
- A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
- Regression with slowly varying regressors and nonlinear trends
- Local \(M\)-estimation for conditional variance function with dependent data
- Adaptive estimation of autoregressive models with time-varying variances
- Testing for a change in persistence in the presence of non-stationary volatility
- Mean volatility regressions
- FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES
- Unit Root Tests under Time-Varying Variances
- Change‐point monitoring in linear models
- Bootstrapping Autoregression under Non-stationary Volatility
- On a simple two-stage closed-form estimator for a stochastic volatility in a general linear regression
- Cointegrating regressions with time heterogeneity
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- Heteroskedasticity-robust testing for a fractional unit root
- Asymptotic Normality, When Regressors Have a Unit Root
- Testing for unit roots in time series models with non-stationary volatility
- Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean
- EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION
- Nonparametric cointegrating regression with NNH errors
- Least squares estimation for nonlinear regression models with heteroscedasticity
- Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
- Towards uniformly efficient trend estimation under weak/strong correlation and non-stationary volatility
- Adaptive long memory testing under heteroskedasticity
- Heteroskedastic time series with a unit root
- The role of information in nonstationary regression
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- Empirical likelihood inference in autoregressive models with time-varying variances
- Inference on co-integration parameters in heteroskedastic vector autoregressions
- Forward detrending for heteroskedasticity-robust panel unit root testing
- Adaptive Inference in Heteroscedastic Fractional Time Series Models
- Adaptive Testing for Cointegration With Nonstationary Volatility
- New robust inference for predictive regressions
- Robust tests for changing volatility
- Estimating autoRegressive processes with positive white noise
- High-frequency instruments and identification-robust inference for stochastic volatility models
- Continuous record asymptotics for change-point models
- Quasi-maximum likelihood estimation for non-stationary stochastic volatility models: diffuse Kalman filtering approach
- Testing for co-integration in vector autoregressions with non-stationary volatility
- Causality effects in return volatility measures with random times
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