Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative

DOI10.1016/j.spl.2008.09.005zbMath1155.62070OpenAlexW2022147277MaRDI QIDQ1003794

Amit Sen

Publication date: 4 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.09.005

Mathematics Subject Classification ID

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

Related Items (1)

Unit Root Tests in the Presence of Multi-Variance Break and Level Shifts That Have Power Against the Piecewise Stationary Alternative

Cites Work

• Further evidence on breaking trend functions in macroeconomic variables
• Unit root testing in the presence of innovation variance breaks: a simple solution with increased power
• Unit root tests with a break in innovation variance.
• Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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