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Testing for a Unit Root with Near-Integrated Volatility

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Author Info
Boswijk, H.P. () (Universiteit van Amsterdam)

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Publisher Info
Paper provided by Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance in its series CeNDEF Working Papers with number 00-09.

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Date of creation: 2000
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Handle: RePEc:ams:ndfwpp:00-09

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Postal: Dept. of Economics and Econometrics, Universiteit van Amsterdam, Roetersstraat 11, NL - 1018 WB Amsterdam, The Netherlands
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This paper has been announced in the following NEP Reports: References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
  2. Hansen, Bruce E., 1992. "Heteroskedastic cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 139-158. [Downloadable!] (restricted)
  3. Tim Bollerslev & Robert F. Engle & Daniel B. Nelson, 1993. "ARCH Models," University of California at San Diego, Economics Working Paper Series 93-49, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
    • Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038 Elsevier. [Downloadable!] (restricted)
  4. Boswijk, H. Peter & Lucas, Andr‚, 1997. "Semi-nonparametric cointegration testing," Serie Research Memoranda 0041, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
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  5. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38. [Downloadable!] (restricted)
  6. repec:cup:etheor:v:8:y:1992:i:4:p:489-500 is not listed on IDEAS
  7. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  8. H. Peter Boswijk & Jurgen A. Doornik, 1999. "Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors," Tinbergen Institute Discussion Papers 99-013/4, Tinbergen Institute. [Downloadable!]
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  9. Hansen, Bruce E, 1995. "Regression with Nonstationary Volatility," Econometrica, Econometric Society, vol. 63(5), pages 1113-32, September. [Downloadable!] (restricted)
  10. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  11. Lucas, Andr?, 1997. "Cointegration Testing Using Pseudolikelihood Ratio Tests," Econometric Theory, Cambridge University Press, vol. 13(02), pages 149-169, April. [Downloadable!]
  12. Nelson, Daniel B & Foster, Dean P, 1994. "Asymptotic Filtering Theory for Univariate ARCH Models," Econometrica, Econometric Society, vol. 62(1), pages 1-41, January. [Downloadable!] (restricted)
    Other versions:
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. H. Peter Boswijk & Franc Klaassen, 2005. "Why Frequency Matters for Unit Root Testing," Tinbergen Institute Discussion Papers 04-119/4, Tinbergen Institute. [Downloadable!]
  2. Peter C. B. Phillips & Jun Yu, 2009. "Information Loss in Volatility Measurement with Flat Price Trading," Global COE Hi-Stat Discussion Paper Series gd08-039, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    Other versions:
  3. Paulo M. M. Rodrigues & Antonio Rubia, 2004. "On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates," Econometrics 0405004, EconWPA. [Downloadable!]
    Other versions:
  4. H. Peter Boswijk, 2001. "Block Local to Unity and Continuous Record Asymptotics," Tinbergen Institute Discussion Papers 01-078/4, Tinbergen Institute. [Downloadable!]
  5. A. Szimayer & R. Maller, 2004. "Testing for Mean Reversion in Processes of Ornstein-Uhlenbeck Type," Statistical Inference for Stochastic Processes, Springer, vol. 7(2), pages 95-113, May. [Downloadable!] (restricted)
  6. Álvaro Escribano & Juan Ignacio Peña & Pablo Villaplana, 2002. "Modeling Electricity Prices: International Evidence," Economics Working Papers we022708, Universidad Carlos III, Departamento de Economía. [Downloadable!]
  7. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  8. 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)
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