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HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (Q5411516)

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scientific article; zbMATH DE number 6287670

Language	Label	Description	Also known as
English	HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT	scientific article; zbMATH DE number 6287670

Statements

scholarly article

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HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (English)

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Giuseppe Cavaliere

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A. M. Robert Taylor

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Econometric Theory

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publication date

23 April 2014

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MaRDI profile type

MaRDI publication profile

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Nonlinear Regressions with Integrated Time Series

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Bootstrap Unit Root Tests

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AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES

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Nonstationary nonlinear heteroskedasticity.

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Residual-Based Block Bootstrap for Unit Root Testing

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Stochastic volatility with leverage: fast and efficient likelihood inference

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LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power

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ARCH models as diffusion approximations

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Dependent central limit theorems and invariance principles

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Bootstrap and wild bootstrap for high dimensional linear models

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Bootstrap procedures under some non-i.i.d. models

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Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence

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Weak limit theorems for stochastic integrals and stochastic differential equations

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Bootstrapping Autoregressive Processes with Possible Unit Roots

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Testing for structural change in conditional models

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Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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Regression with Nonstationary Volatility

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Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes

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Martingale invariance principles

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Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity

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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

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Bootstrapping general empirical measures

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ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS

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Unit root bootstrap tests for AR (1) models

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Efficient Tests for an Autoregressive Unit Root

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Transform Analysis and Asset Pricing for Affine Jump-diffusions

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Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

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THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I

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The wild bootstrap, tamed at last

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Stochastic Limit Theory

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A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

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A Sieve Bootstrap For The Test Of A Unit Root

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ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS

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Bootstrap<i>M</i>Unit Root Tests

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Adaptive estimation of autoregressive models with time-varying variances

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Bootstrapping Autoregression under Non-stationary Volatility

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Testing for unit roots in time series models with non-stationary volatility

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Jackknife, bootstrap and other resampling methods in regression analysis

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Unit Root Tests under Time-Varying Variances

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On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity

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Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes

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Inference in Autoregression under Heteroskedasticity

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Asymptotics for linear processes

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Testing for a unit root in time series regression

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Time Series Regression with a Unit Root

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Towards a unified asymptotic theory for autoregression

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Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties

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Bootstrapping unstable first-order autoregressive processes

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Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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Evaluation of a three-step method for choosing the number of bootstrap repetitions

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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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Chi-Square Diagnostic Tests for Econometric Models: Theory

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Identifiers

zbMATH Open document ID

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10.1017/S026646660809049X

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5411516

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