Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results

DOI10.1016/J.JEDC.2003.07.001MaRDI QIDQ953736zbMATH OpenOpenAlexFDO

Authors Wojciech W. Charemza, Svetlana Makarova, M. A. Lifshits

Publication date 6 November 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://www.le.ac.uk/economics/wch/bilinclm.pdf

zbMATH Keywords

testingtime series econometricsnon-stationary bilinear processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02) Statistical methods; risk measures (91G70)

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Cites work

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Cited in

(5)

• A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
• scientific article; zbMATH DE number 1833945 (Why is no real title available?)
• Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach
• Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process
• Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices

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