Lagrange multiplier unit root test in the presence of a break in the innovation variance

DOI10.1080/03610926.2017.1321771zbMath1462.62549OpenAlexW2610020847MaRDI QIDQ4563471

Amit Sen

Publication date: 1 June 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1321771

zbMATH Keywords

Lagrange multiplierunit rootbreak-dateinnovation break

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Testing for unit roots in time series models with non-stationary volatility
• On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance
• Testing for a unit root in the presence of a variance shift
• Unit root tests with a break in innovation variance.
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
• Unit Root Tests under Time-Varying Variances
• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
• Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT

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