The performance of unit root tests under level-dependent heteroskedasticity

DOI10.1016/j.econlet.2005.05.035zbMath1254.91736OpenAlexW2046374036MaRDI QIDQ1928705

Antonio Rubia, Paulo M. M. Rodrigues

Publication date: 3 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2005.05.035

zbMATH Keywords

interest ratesnonparametric testCKLSDF testdouble-autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (7)

A class of stochastic unit-root bilinear processes: mixing properties and unit-root test ⋮ On the Transmission of Memory in Garch‐in‐Mean Models ⋮ A unit root test for an AR(1) process with AR errors by using random weighted bootstrap ⋮ Bounded unit root processes with non-stationary volatility ⋮ A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity ⋮ A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment ⋮ Testing for unit roots in bounded time series

Cites Work

• Unnamed Item
• Strict stationarity of generalized autoregressive processes
• Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
• Nonparametric tests for unit roots and cointegration.
• A Theory of the Term Structure of Interest Rates
• Estimation and Testing Stationarity for Double-Autoregressive Models

This page was built for publication: The performance of unit root tests under level-dependent heteroskedasticity