BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
From MaRDI portal
Publication:3632371
DOI10.1017/S0266466608080043zbMath1280.62098MaRDI QIDQ3632371
Giuseppe Cavaliere, A. M. Robert Taylor
Publication date: 11 June 2009
Published in: Econometric Theory (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07)
Related Items (43)
Nonstationary-volatility robust panel unit root tests and the great moderation ⋮ Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics ⋮ On the Transmission of Memory in Garch‐in‐Mean Models ⋮ Testing for structural changes in linear regressions with time-varying variance ⋮ Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility ⋮ Detrending Bootstrap Unit Root Tests ⋮ Inference on the long-memory properties of time series with non-stationary volatility ⋮ Nonlinear IV panel unit root testing under structural breaks in the error variance ⋮ Bootstrapping Autoregression under Non-stationary Volatility ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Wild bootstrap tests for unit root in ESTAR models ⋮ Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models ⋮ A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility ⋮ Testing for explosive bubbles: a review ⋮ Bounded unit root processes with non-stationary volatility ⋮ TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain ⋮ Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series ⋮ Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem ⋮ BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS ⋮ UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS ⋮ Moving block bootstrapping for a CUSUM test for correlation change ⋮ Robustifying multivariate trend tests to nonstationary volatility ⋮ Higher order properties of the wild bootstrap under misspecification ⋮ Nuisance parameter free inference on cointegration parameters in the presence of a variance shift ⋮ On bootstrap implementation of likelihood ratio test for a unit root ⋮ Testing for unit roots in bounded time series ⋮ Testing for co-integration in vector autoregressions with non-stationary volatility ⋮ Recursive adjusted unit root tests under non-stationary volatility ⋮ Bootstrapping non-stationary stochastic volatility ⋮ Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form ⋮ Cointegration in high frequency data ⋮ Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors ⋮ Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap ⋮ Testing for no-cointegration under time-varying variance ⋮ Unit root testing with slowly varying trends ⋮ Non-parametric seasonal unit root tests under periodic non-stationary volatility ⋮ A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS ⋮ Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility ⋮ Testing for a unit root with nonstationary nonlinear heteroskedasticity ⋮ Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions ⋮ Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances ⋮ Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets ⋮ A new limit result in change point analysis
Cites Work
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- The power of the ADF test
- Testing for a unit root in the presence of a variance shift
- Testing for structural change in conditional models
- Unit root tests with a break in innovation variance.
- Unit Root Tests under Time-Varying Variances
- Inference in Autoregression under Heteroskedasticity
- Asymptotics for unit root tests under Markov regime‐switching
- Sample Splitting and Threshold Estimation
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Time Series Regression with a Unit Root
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- Regression with Nonstationary Volatility
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
- Efficient Tests for an Autoregressive Unit Root
- Bootstrap Unit Root Tests
- 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
This page was built for publication: BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
