Robustifying multivariate trend tests to nonstationary volatility
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Publication:527989
DOI10.1016/j.jeconom.2012.01.016zbMath1443.62294OpenAlexW2008937737MaRDI QIDQ527989
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000267
bootstrapautocorrelationrobust inferenceheteroskedasticitynonstationary volatilitymultivariate trend modelvariance change
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (11)
Multivariate trend function testing with mixed stationary and integrated disturbances ⋮ On robust testing for trend ⋮ Testing for common trends in semi‐parametric panel data models with fixed effects ⋮ Two simple tests of the trend hypothesis under time-varying variance ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ A non‐parametric test for multi‐variate trend functions ⋮ Testing for Trend Specifications in Panel Data Models ⋮ The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity ⋮ Power monotonicity in detecting volatility levels change ⋮ Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework ⋮ Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility
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