Robust inference for near-unit root processes with time-varying error variances
From MaRDI portal
(Redirected from Publication:5864374)
Recommendations
- Unit Root Tests under Time-Varying Variances
- New tests for unit roots in autoregressive processes with possibly infinite variance errors
- Testing stationarity and trend stationarity against the unit root hypothesis
- Unit root bootstrap tests under infinite variance
- Heteroskedastic time series with a unit root
Cites work
- Adaptive estimation of autoregressive models with time-varying variances
- An instrumental variable approach for panel unit root tests under cross-sectional dependence
- Another look at the instrumental variable estimation of error-components models
- Asymptotic Normality, When Regressors Have a Unit Root
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
- ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
- Efficient Tests for an Autoregressive Unit Root
- Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors
- Examination of Some More Powerful Modifications of the Dickey–Fuller Test
- Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
- Heteroskedastic time series with a unit root
- scientific article; zbMATH DE number 46732 (Why is no real title available?)
- Inference in Autoregression under Heteroskedasticity
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Minimizing the impact of the initial condition on testing for unit roots
- Nonlinear instrumental variable estimation of an autoregression.
- Nonlinear IV unit root tests in panels with cross-sectional dependency.
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- Panel unit root testing with nonlinear instruments for infinite-order autoregressive processes
- Recursive mean adjustment for unit root tests
- REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
- Testing for unit roots in time series models with non-stationary volatility
- Tests for Unit Roots and the Initial Condition
- Towards a unified asymptotic theory for autoregression
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
- Unit Root Tests under Time-Varying Variances
- Unit root tests with a break in innovation variance.
- WEAK CONVERGENCE OF NONLINEAR TRANSFORMATIONS OF INTEGRATED PROCESSES: THE MULTIVARIATE CASE
Cited in
(4)- A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
- Sequential Estimation and Control of Time-Varying Unit Root Processes with an Application to S&P Stock Price
- Forward detrending for heteroskedasticity-robust panel unit root testing
- Testing for nonlinear cointegration under heteroskedasticity
This page was built for publication: Robust inference for near-unit root processes with time-varying error variances
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5864374)
