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Stationarity Tests Under Time-Varying Second Moments

  • Cavaliere, Giuseppe
  • Taylor, A.M. Robert

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Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 21 (2005)
Issue (Month): 06 (December)
Pages: 1112-1129

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Handle: RePEc:cup:etheor:v:21:y:2005:i:06:p:1112-1129_05
Contact details of provider: Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK
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  1. Hamori, Shigeyuki & Tokihisa, Akira, 1997. "Testing for a unit root in the presence of a variance shift1," Economics Letters, Elsevier, vol. 57(3), pages 245-253, December.
  2. Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  3. Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
  4. Peter C. B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-470, December.
  5. Giuseppe Cavaliere, 2005. "Unit Root Tests under Time-Varying Variances," Econometric Reviews, Taylor & Francis Journals, vol. 23(3), pages 259-292.
  6. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March.
  7. Busetti, Fabio & Taylor, A M Robert, 2003. "Variance Shifts, Structural Breaks, and Stationarity Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 510-31, October.
  8. Shin, Yongcheol, 1994. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration," Econometric Theory, Cambridge University Press, vol. 10(01), pages 91-115, March.
  9. de Jong, Robert M., 2000. "A Strong Consistency Proof For Heteroskedasticity And Autocorrelation Consistent Covariance Matrix Estimators," Econometric Theory, Cambridge University Press, vol. 16(02), pages 262-268, April.
  10. Cavaliere, Giuseppe, 2004. "Testing stationarity under a permanent variance shift," Economics Letters, Elsevier, vol. 82(3), pages 403-408, March.
  11. Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul, 2002. "Unit root tests with a break in innovation variance," Journal of Econometrics, Elsevier, vol. 109(2), pages 365-387, August.
  12. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  13. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
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