Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results
DOI10.1016/J.JEDC.2003.07.001zbMATH Open1202.91344OpenAlexW2023889805MaRDI QIDQ953736FDOQ953736
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
Recommendations
- scientific article; zbMATH DE number 1833945
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
- scientific article; zbMATH DE number 2199143
- On the Theory of Testing for Unit Roots in Observed Time Series
- UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
- On the choice of test for a unit root when the errors are conditionally heteroskedastic
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02) Statistical methods; risk measures (91G70)
Cites Work
- On the invertibility of time series models
- Title not available (Why is that?)
- Title not available (Why is that?)
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Title not available (Why is that?)
- A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION
- An introduction to stochastic unit-root processes
- A NOTE ON A MARKOV BILINEAR STOCHASTIC PROCESS IN DISCRETE TIME
- Title not available (Why is that?)
- Title not available (Why is that?)
- Robust estimation of bilinear time series models
- Testing a time series for difference stationarity
- An introduction to bispectral analysis and bilinear time series models
- Simple consistent estimators of stable distribution parameters
- Bilinear stochastic models and related problems of nonlinear time series analysis. A frequency domain approach
- Title not available (Why is that?)
- A NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONS
- Title not available (Why is that?)
- Joint application of the Dickey-Fuller and KPSS tests
- J. of time series anal.
- ESTIMATION FOR THE FIRST-ORDER DIAGONAL BILINEAR TIME SERIES MODEL
- A non-linear error correction mechanism based on the bilinear model
- Potential problems in estimating bilinear time-series models
- Recursive estimation of bilinear time series models
Cited In (4)
- Title not available (Why is that?)
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
- 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
This page was built for publication: Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q953736)
