Recursive adjusted unit root tests under non-stationary volatility

DOI10.1016/j.econlet.2021.109941zbMath1469.62329OpenAlexW3167447993MaRDI QIDQ2043142

Kuangyu Wen, Shaoping Wang, Yanglin Li

Publication date: 22 July 2021

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.109941

zbMATH Keywords

unit root testsstructural breaknon-stationary volatilityrecursive adjustmentSino-US trade conflict

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Testing for unit roots in time series models with non-stationary volatility
• On least-squares bias in the \(AR(p)\) model: Bias correction using the bootstrap methods
• Recursive mean adjustment in time-series inferences
• Further evidence on breaking trend functions in macroeconomic variables
• GLS detrending, efficient unit root tests and structural change.
• recursive Mean Adjustment for Unit Root Tests
• Recursive adjustment, unit root tests and structural breaks
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
• TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND
• GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES
• The Bias of Autoregressive Coefficient Estimators
• HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
• An invariant sign test for random walks based on recursive median adjustment
• Recursive mean adjustment and tests for nonstationarities

This page was built for publication: Recursive adjusted unit root tests under non-stationary volatility