Heteroskedastic Time Series With A Unit Root
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 25 (2009)
Issue (Month): 05 (October)
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- Brandan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Series Working Papers 2008-WO6, University of Oxford, Department of Economics.
- Smeekes, Stephan & Taylor, A.M. Robert, 2012.
"Bootstrap Union Tests For Unit Roots In The Presence Of Nonstationary Volatility,"
Cambridge University Press, vol. 28(02), pages 422-456, April.
- Stephan Smeekes & A. M. Robert Taylor, 2010. "Bootstrap union tests for unit roots in the presence of nonstationary volatility," Discussion Papers 10/03, University of Nottingham, Granger Centre for Time Series Econometrics.
- Smeekes Stephan & Taylor A. M. Robert, 2010. "Bootstrap Union Tests for Unit Roots in the Presence of Nonstationary Volatility," Research Memorandum 015, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford.
- Fried, Roland, 2012. "On the online estimation of local constant volatilities," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3080-3090.
- Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.
- Christoph Hanck & Robert Czudaj, 2013.
"Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation,"
Ruhr Economic Papers
0434, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
- Czudaj, Robert & Hanck, Christoph, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79734, Verein für Socialpolitik / German Economic Association.
- Westerlund, Joakim, 2014. "On the choice of test for a unit root when the errors are conditionally heteroskedastic," Computational Statistics & Data Analysis, Elsevier, vol. 69(C), pages 40-53.
- Hanck, Christoph & Demetrescu, Matei & Tarcolea, Adina, 2012. "IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62072, Verein für Socialpolitik / German Economic Association.
- Cavaliere Giuseppe & Phillips Peter C.B. & Smeekes Stephan & Taylor A.M. Robert, 2011.
"Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility,"
056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Giuseppe Cavaliere & Peter C.B. Phillips & Stephan Smeekes & A.M. Robert Taylor, 2012. "Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility," Cowles Foundation Discussion Papers 1844, Cowles Foundation for Research in Economics, Yale University.
- Giuseppe Cavaliere & Morten Ã˜rregaard Nielsen & A. M. Robert Taylor, 2014. "Quasi-Maximum Likelihood Estimation of Heteroskedastic Fractional Time Series Models," Working Papers 1324, Queen's University, Department of Economics.
- Giuseppe Cavaliere & Morten Ã˜rregaard Nielsen & A.M. Robert Taylor, 2013. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," Working Papers 1309, Queen's University, Department of Economics.
- Patrick Marsh, . "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.
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