Unit Root Tests in the Presence of Multi-Variance Break and Level Shifts That Have Power Against the Piecewise Stationary Alternative
From MaRDI portal
Publication:5265805
DOI10.1080/03610918.2013.800206zbMath1320.62195MaRDI QIDQ5265805
Publication date: 29 July 2015
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2013.800206
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F03: Parametric hypothesis testing
62M07: Non-Markovian processes: hypothesis testing
Cites Work
- Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative
- Testing for a unit root in the presence of a variance shift
- Unit root tests with a break in innovation variance.
- A new score test for unit roots in heterogeneous panels -- residual likelihood approach
- Testing for a unit root in variables with a double change in the mean
- TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Unit‐root testing against the alternative hypothesis of up to m structural breaks