Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances

DOI10.1080/07474938.2014.976525zbMath1491.62095OpenAlexW2022081415MaRDI QIDQ5864374

Matei Demetrescu, Christoph Hanck

Publication date: 7 June 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2014.976525

zbMATH Keywords

normalitytime-varying variance(near-)integrated processnonlinear instrument

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

Forward detrending for heteroskedasticity-robust panel unit root testing ⋮ A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility

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