Unit root tests with a break in innovation variance

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Unit root tests with a break in innovation variance

Author Info

Kim, Tae-Hwan
Leybourne, Stephen
Newbold, Paul

Additional information is available for the following registered author(s):

Tae-Hwan Kim

Abstract

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Publisher Info
Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 109 (2002)
Issue (Month): 2 (August)
Pages: 365-387
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:econom:v:109:y:2002:i:2:p:365-387

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Web page: http://www.elsevier.com/locate/jeconom

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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:
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," Discussion Papers 08-34, University of Copenhagen. Department of Economics. [Downloadable!]
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, School of Economics and Management, University of Aarhus. [Downloadable!]
Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad, 2008. "Model specification, observational equivalence and performance of unit root tests," MPRA Paper 13489, University Library of Munich, Germany. [Downloadable!]
Hanck, Christoph, 2008. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," MPRA Paper 11988, University Library of Munich, Germany. [Downloadable!]
Giuseppe Cavaliere & A. M. Robert Taylor, . "Testing for a change in persistence in the presence of non-stationary volatility," Discussion Papers 06/04, University of Nottingham, Granger Centre for Time Series Econometrics. [Downloadable!]
Other versions:
- Cavaliere, Giuseppe & Taylor, A.M. Robert, 2008. "Testing for a change in persistence in the presence of non-stationary volatility," Journal of Econometrics, Elsevier, vol. 147(1), pages 84-98, November. [Downloadable!] (restricted)
Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor, 2008. "Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility," CREATES Research Papers 2008-62, School of Economics and Management, University of Aarhus. [Downloadable!]
Steven Cook, 2003. "Empirical evidence on the robustness of the weighted symmetric unit root test," Applied Economics Letters, Taylor and Francis Journals, vol. 10(12), pages 761-763, October. [Downloadable!] (restricted)
Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585, Cowles Foundation, Yale University. [Downloadable!]
Other versions:
- 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!]
- Xu, Ke-Li & Phillips, Peter C.B., 2008. "Adaptive estimation of autoregressive models with time-varying variances," Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January. [Downloadable!] (restricted)
Fabio Busetti & Silvia Fabiani & Andrew Harvey, 2006. "Convergences of prices and rates of inflation," Temi di discussione (Economic working papers) 575, Bank of Italy, Economic Research Department. [Downloadable!]
Other versions:
- Fabio Busetti & Silvia Fabiani & Andrew Harvey, 2006. "Convergence of Prices and Rates of Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 863-877, December. [Downloadable!] (restricted)
Steven Cook, 2005. "Rank-based unit root testing in the presence of structural change under the null: simulation results and an application to US inflation," Applied Economics, Taylor and Francis Journals, vol. 37(6), pages 607-617, April. [Downloadable!] (restricted)

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