Testing for a unit root with nonstationary nonlinear heteroskedasticity

DOI10.1080/07474938.2020.1721833zbMATH Open1490.62280OpenAlexW3006472441MaRDI QIDQ5861007FDOQ5861007

Nigel Chan, Yundong Tu, Qiying Wang

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2020.1721833

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zbMATH Keywords

conditional heteroskedasticitynonparametricleverage effectunit root test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Functional limit theorems; invariance principles (60F17)

Cites Work

• Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
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• Asymptotics for linear processes
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• Time Series Regression with a Unit Root
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Cited In (10)

• TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
• Testing unit roots by bootstrap
• Testing for unit roots in time series models with non-stationary volatility
• Heteroskedasticity-robust testing for a fractional unit root
• Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
• Performance of nonlinear instrumental variable unit root tests using recursive detrending methods
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• The power of unit root tests against nonlinear local alternatives
• A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity
• The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications

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