Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results

DOI10.1016/j.jedc.2003.07.001zbMath1202.91344OpenAlexW2023889805MaRDI QIDQ953736

Wojciech W. Charemza, Svetlana Makarova, Mikhail Lifshits

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://www.le.ac.uk/economics/wch/bilinclm.pdf

zbMATH Keywords

testingtime series econometricsnon-stationary bilinear processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Markov processes: hypothesis testing (62M02)

Related Items

A class of stochastic unit-root bilinear processes: mixing properties and unit-root test ⋮ Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• 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?
• An introduction to bispectral analysis and bilinear time series models
• A non-linear error correction mechanism based on the bilinear model
• On the invertibility of time series models
• Joint application of the Dickey-Fuller and KPSS tests
• Bilinear stochastic models and related problems of nonlinear time series analysis. A frequency domain approach
• Potential problems in estimating bilinear time-series models
• An introduction to stochastic unit-root processes
• Testing a time series for difference stationarity
• A NOTE ON A MARKOV BILINEAR STOCHASTIC PROCESS IN DISCRETE TIME
• J. of time series anal.
• ESTIMATION FOR THE FIRST-ORDER DIAGONAL BILINEAR TIME SERIES MODEL
• A NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONS
• Simple consistent estimators of stable distribution parameters
• Recursive estimation of bilinear time series models
• Robust estimation of bilinear time series models
• A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION