STATIONARITY TESTING WITH COVARIATES

DOI10.1017/S0266466604201037MaRDI QIDQ4814246zbMATH OpenFDO

Authors Michael Jansson

Publication date 7 September 2004

Published in Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

tables

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(16)

• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
• Point optimal tests of the null hypothesis of cointegration
• Tests for covariance stationarity and white noise, with an application to Euro/US dollar exchange rate: An approach based on the evolutionary spectral density
• A simple, robust and powerful test of the trend hypothesis
• Low-frequency robust cointegration testing
• Testing for local covariate trend effects in volatility models
• Testing Covariance Stationarity
• A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes
• Testing for unit roots with stationary covariates
• scientific article; zbMATH DE number 6482220 (Why is no real title available?)
• A covariate residual-based cointegration test applied to the CDS-bond basis
• A Lagrange multiplier stationarity test using covariates
• A parametric stationarity test with smooth breaks
• Testing for stationarity with covariates: more powerful tests with non-normal errors
• A Note on Testing Covariance Stationarity
• Testing for covariance stationarity in stock market data

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