Non-parametric seasonal unit root tests under periodic non-stationary volatility
type: Item
instance of: scholarly article
title: Non-parametric seasonal unit root tests under periodic non-stationary volatility
zbMATH Open document ID: 1505.62162
author: Kemal Çağlar Göğebakan
author: Burak Alparslan Eroğlu
published in: Computational Statistics
publication date: 2022-11-15T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M07
Mathematics Subject Classification ID: 62G10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 7616942
zbMATH Keywords: seasonal unit root
zbMATH Keywords: non-stationary volatility
zbMATH Keywords: variance ratio
zbMATH Keywords: wild bootstrap
describes a project that uses: partsm
MaRDI profile type: Publication
full work available at URL: s00180-022-01211-w
OpenAlex ID: W4220695217
cites work: Bootstrapping unstable first-order autoregressive processes
cites work: Seasonal unit roots in aggregate U.S. data (with discussion)
cites work: Inference on co-integration parameters in heteroskedastic vector autoregressions
cites work: On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
cites work: Bootstrapping the HEGY seasonal unit root tests
cites work: Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
cites work: Testing for unit roots in time series models with non-stationary volatility
cites work: BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
cites work: HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
cites work: ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS
cites work: SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
cites work: Powerful nonparametric seasonal unit root tests
cites work: A nonparametric unit root test under nonstationary volatility
cites work: Q4331747
cites work: Testing for structural change in conditional models
cites work: Seasonal integration and cointegration
cites work: Nonparametric cointegration analysis of fractional systems with unknown integration orders
cites work: REGRESSION-BASED SEASONAL UNIT ROOT TESTS
DOI: 10.1007/S00180-022-01211-W
description: scientific article; zbMATH DE number 7616942