Testing stationarity under a permanent variance shift

DOI10.1016/J.ECONLET.2003.08.014MaRDI QIDQ1927446zbMATH OpenOpenAlexFDO

Authors Giuseppe Cavaliere

Publication date 1 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2003.08.014

zbMATH Keywords

integrated processesstationarity testsstructural breaks

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Economic time series analysis (91B84)

Recommendations

• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
• Testing Covariance Stationarity
• Testing for a unit root in the presence of a variance shift
• The fragility of the KPSS stationarity test
• Unit Root Tests under Time-Varying Variances

Cites work

• Asymptotics for unit root tests under Markov regime‐switching
• Testing for a unit root in the presence of a variance shift
• 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?
• Unit root tests with a break in innovation variance.

Cited in

(14)

• Testing for stationarity in series with a shift in the mean. A Fredholm approach
• The KPSS test with outliers
• The size performance of a nonparametric unit root test under a variance shift
• Adaptive estimation of autoregressive models with time-varying variances
• Testing for a change in persistence in the presence of non-stationary volatility
• Unit root tests and dramatic shifts with infinite variance processes
• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
• Testing the Null of Co-integration in the Presence of Variance Breaks
• Bootstrapping Autoregression under Non-stationary Volatility
• Adaptive long memory testing under heteroskedasticity
• Testing Covariance Stationarity
• Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
• New robust inference for predictive regressions
• Wild bootstrap tests for unit root in ESTAR models

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