A Note on Testing Covariance Stationarity

DOI10.1080/07474930802458992zbMath1482.62087OpenAlexW2029934407MaRDI QIDQ3183726

A. M. Robert Taylor, Giuseppe Cavaliere

Publication date: 21 October 2009

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

Full work available at URL: https://doi.org/10.1080/07474930802458992

zbMATH Keywords

nonstationary volatilityKPSSstationarity testing

Mathematics Subject Classification ID

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

Cites Work

• 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?
• Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
• Testing Covariance Stationarity

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