TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY

DOI10.1017/S0266466610000605zbMath1226.62075OpenAlexW3021629318MaRDI QIDQ3100977

David I. Harvey, A. M. Robert Taylor, Giuseppe Cavaliere, Stephen J. Leybourne

Publication date: 22 November 2011

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466610000605

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric statistical resampling methods (62G09)

Related Items (10)

Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics ⋮ Lagrange multiplier unit root test in the presence of a break in the innovation variance ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Inference in functional factor models with applications to yield curves ⋮ Deterministic Parameter Change Models in Continuous and Discrete Time ⋮ Testing Stability in Functional Event Observations with an Application to IPO Performance ⋮ Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem ⋮ BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY ⋮ Unit root testing with slowly varying trends ⋮ Recursive adjustment, unit root tests and structural breaks

Cites Work

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• Stochastic Limit Theory
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• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Evaluation of a three-step method for choosing the number of bootstrap repetitions

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