Testing for a unit root with nonstationary nonlinear heteroskedasticity

DOI10.1080/07474938.2020.1721833MaRDI QIDQ5861007zbMATH OpenOpenAlexFDO

Authors Yundong Tu, Nigel Chan, 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

zbMATH Keywords

conditional heteroskedasticityleverage effectnonparametricunit root test

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(17)

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

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