Testing for a unit root in the presence of a variance shift
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Publication:1127407
DOI10.1016/S0165-1765(97)00245-0zbMath0903.90022MaRDI QIDQ1127407
Akira Tokihisa, Shigeyuki Hamori
Publication date: 13 August 1998
Published in: Economics Letters (Search for Journal in Brave)
Related Items (38)
Unit Root Tests under Time-Varying Variances ⋮ Nonstationary-volatility robust panel unit root tests and the great moderation ⋮ Adaptive estimation of autoregressive models with time-varying variances ⋮ A Simple Heteroscedasticity Removing Filter ⋮ Lagrange multiplier unit root test in the presence of a break in the innovation variance ⋮ On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance ⋮ Spurious regression due to neglected of non-stationary volatility ⋮ A simple nonstationary-volatility robust panel unit root test ⋮ Spurious regression ⋮ Testing stationarity under a permanent variance shift ⋮ Bootstrapping Autoregression under Non-stationary Volatility ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Cointegration, variance shifts and the limiting distribution of the OLS estimator ⋮ Wild bootstrap tests for unit root in ESTAR models ⋮ Joint Hypothesis Tests for a Unit Root When There is a Break in the Innovation Variance ⋮ Forward detrending for heteroskedasticity-robust panel unit root testing ⋮ A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility ⋮ Testing for unit roots in time series models with non-stationary volatility ⋮ Cointegrating rank selection in models with time-varying variance ⋮ Behavior of the Size in the Unit Root Testing Under Contamination ⋮ Cointegrating Regressions with Time Heterogeneity ⋮ The size performance of a nonparametric unit root test under a variance shift ⋮ Testing for cointegration in the presence of mis-specified structural change ⋮ Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1) ⋮ Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility ⋮ Asymptotics for unit root tests under Markov regime‐switching ⋮ STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS ⋮ BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY ⋮ HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT ⋮ Heteroskedasticity‐Robust Unit Root Testing for Trending Panels ⋮ Unit root testing with slowly varying trends ⋮ Testing for a unit root with nonstationary nonlinear heteroskedasticity ⋮ The robustness of modified unit root tests in the presence of GARCH ⋮ Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions ⋮ Unit root tests with a break in innovation variance. ⋮ Testing the Null of Co-integration in the Presence of Variance Breaks ⋮ Inference in Autoregression under Heteroskedasticity ⋮ Unit Root Tests in the Presence of Multi-Variance Break and Level Shifts That Have Power Against the Piecewise Stationary Alternative
Cites Work
- Seasonal integration and cointegration
- 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?
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Hypothesis Testing in ARIMA(p, 1, q) Models
- Testing for a unit root in time series regression
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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