HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT
From MaRDI portal
Publication:3652625
DOI10.1017/S0266466609990314zbMath1179.62123OpenAlexW3122200262MaRDI QIDQ3652625
No author found.
Publication date: 15 December 2009
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466609990314
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (11)
Unnamed Item ⋮ Testing for persistence change in fractionally integrated models: an application to world inflation rates ⋮ Inference on the long-memory properties of time series with non-stationary volatility ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics ⋮ Infant mortality rates: time trends and fractional integration ⋮ Asymptotic normal tests for integration in panels with cross-dependent units ⋮ Fractional differencing in discrete time ⋮ Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form ⋮ Testing unit roots and long range dependence of foreign exchange ⋮ Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cites Work
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Minimum distance estimation of stationary and non‐stationary ARFIMA processes
- Adaptive estimation of autoregressive models with time-varying variances
- Testing for unit roots in time series models with non-stationary volatility
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Testing for a unit root in the presence of a variance shift
- Alternative forms of fractional Brownian motion
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Unit root tests with a break in innovation variance.
- Inference on the cointegration rank in fractionally integrated processes.
- On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
- Unit Root Tests under Time-Varying Variances
- Heteroscedasticity in Models with Lagged Dependent Variables
- Optimal Fractional Dickey–Fuller tests
- Inference in Autoregression under Heteroskedasticity
- Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
- LONG MEMORY TESTING IN THE TIME DOMAIN
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE
- Efficient Tests of Nonstationary Hypotheses
- THE NONSTATIONARY FRACTIONAL UNIT ROOT
- Regression with Nonstationary Volatility
- Efficient Wald Tests for Fractional Unit Roots
- A Fractional Dickey-Fuller Test for Unit Roots
This page was built for publication: HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT