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Testing for a unit root in the presence of a variance shift1

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Hamori, Shigeyuki
Tokihisa, Akira

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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 57 (1997)
Issue (Month): 3 (December)
Pages: 245-253
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Handle: RePEc:eee:ecolet:v:57:y:1997:i:3:p:245-253

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  1. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2004. "A Range Unit Root Test," Statistics and Econometrics Working Papers ws041104, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  2. Charles Nelson & Eric Zivot & Jeremy M. Piger, 2001. "Markov regime switching and unit root tests," Working Papers 2001-013, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  3. Steven Cook, 2006. "The robustness of modified unit root tests in the presence of GARCH," Quantitative Finance, Taylor and Francis Journals, vol. 6(4), pages 359-363, August. [Downloadable!] (restricted)
  4. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  5. Kazuhiro Ohtani, 2004. "Exact distribution and critical values of a unit root test in the presence of change in variance," Applied Economics Letters, Taylor and Francis Journals, vol. 11(14), pages 855-860, November. [Downloadable!] (restricted)
  6. A.M.R. Taylor & D.J.C. van Dijk, 1999. "Testing for stochastic unit roots - Some Monte Carlo evidence," Econometric Institute Report 149, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
  7. José L. Fernández-Serrano & Simón Sosvilla-Rivero, . "Modelling the linkages between US and Latin American stock markets," Working Papers 2002-14, FEDEA. [Downloadable!]
    Other versions:
  8. Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585R, Cowles Foundation, Yale University, revised Nov 2006. [Downloadable!]
    Other versions:
  9. Maurice Obstfeld & Alan M. Taylor, 2003. "Globalization and Capital Markets," NBER Chapters, in: Globalization in Historical Perspective, pages 121-188 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:
  10. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, . "Testing for co-integration in vector autoregressions with non-stationary volatility," Discussion Papers 07/02, University of Nottingham, Granger Centre for Time Series Econometrics. [Downloadable!]
    Other versions:
  11. Eklund, Bruno, 2003. "A nonlinear alternative to the unit root hypothesis," Working Paper Series in Economics and Finance 547, Stockholm School of Economics. [Downloadable!]
  12. Hanck, Christoph, 2008. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," MPRA Paper 11988, University Library of Munich, Germany. [Downloadable!]
  13. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Working Papers 0040, University of Washington, Department of Economics. [Downloadable!]
    Other versions:
  14. Xu Cheng & Peter C. B. Phillips, 2009. "Cointegrating Rank Selection in Models with Time-Varying Variance," Cowles Foundation Discussion Papers 1688, Cowles Foundation, Yale University. [Downloadable!]
  15. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
  16. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho. [Downloadable!]
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