The Power of Some Tests for Difference Stationarity under Local Heteroscedastic Integration

DOI10.2307/2670125MaRDI QIDQ4216970zbMATH OpenOpenAlexFDO

Authors Richard J. Smith, Brendan McCabe

Publication date 28 November 1999

Full work available at URL https://doi.org/10.2307/2670125

zbMATH Keywords

autoregressionBrownian motionDickey-Fuller testnonstationarityunit roots

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(9)

• Understanding temporal aggregation effects on kurtosis in financial indices
• Hybrid stochastic local unit roots
• On local power properties of frequency domain-based tests for stationarity
• Norming rates and limit theory for some time-varying coefficient autoregressions
• Robust inference with stochastic local unit root regressors in predictive regressions
• Stochastic local and moderate departures from a unit root and its application to unit root testing
• Testing for stationary or persistent coefficient randomness in predictive regressions
• Testing for a bubble with a stochastically varying explosive coefficient
• Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process

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