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Giuseppe Cavaliere

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli, 2016. "Bootstrapping DSGE models," Quaderni di Dipartimento 3, Department of Statistics, University of Bologna.

    Mentioned in:

    1. Bootstrapping DSGE models
      by Christian Zimmermann in NEP-DGE blog on 2016-10-17 19:10:45
  2. Matteo Barigozzi & Giuseppe Cavaliere & Graziano Moramarco, 2022. "Factor Network Autoregressions," Papers 2208.02925, arXiv.org, revised Feb 2024.

    Mentioned in:

    1. Factor Network Autoregressions
      by Francis Diebold in No Hesitations on 2022-09-18 22:10:00

Working papers

  1. Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt, 2022. "The Econometrics of Financial Duration Modeling," Papers 2208.02098, arXiv.org, revised Dec 2022.

    Cited by:

    1. Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt, 2023. "Asymptotics for the Generalized Autoregressive Conditional Duration Model," Papers 2307.01779, arXiv.org.

  2. Giuseppe Cavaliere & S'ilvia Gonc{c}alves & Morten {O}rregaard Nielsen & Edoardo Zanelli, 2022. "Bootstrap inference in the presence of bias," Papers 2208.02028, arXiv.org, revised Nov 2023.

    Cited by:

    1. Claudia Pigini & Alessandro Pionati & Francesco Valentini, 2023. "Specification testing with grouped fixed effects," Papers 2310.01950, arXiv.org.

  3. Matteo Barigozzi & Giuseppe Cavaliere & Graziano Moramarco, 2022. "Factor Network Autoregressions," Papers 2208.02925, arXiv.org, revised Feb 2024.

    Cited by:

    1. Bastianin, Andrea & Casoli, Chiara & Galeotti, Marzio, 2023. "The connectedness of Energy Transition Metals," FEEM Working Papers 336984, Fondazione Eni Enrico Mattei (FEEM).
    2. Marko Mlikota, 2022. "Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications," Papers 2211.13610, arXiv.org, revised Dec 2023.
    3. Francis X. Diebold & Kamil Yilmaz, 2022. "On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness," Koç University-TUSIAD Economic Research Forum Working Papers 2207, Koc University-TUSIAD Economic Research Forum.

  4. Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli, 2022. "An identification and testing strategy for proxy-SVARs with weak proxies," Papers 2210.04523, arXiv.org, revised Oct 2023.

    Cited by:

    1. Giovanni Angelini & Luca Fanelli & Luca Neri, 2024. "Invalid proxies and volatility changes," Papers 2403.08753, arXiv.org.

  5. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & Iliyan Georgiev, 2021. "Bootstrapping Non-Stationary Stochastic Volatility," Papers 2101.03562, arXiv.org.

    Cited by:

    1. Schwaab, Bernd & Zhang, Xin & Lucas, André, 2021. "Modeling extreme events: time-varying extreme tail shape," Working Paper Series 2524, European Central Bank.
    2. Wang, Bin & Zheng, Xu, 2022. "Testing for the presence of jump components in jump diffusion models," Journal of Econometrics, Elsevier, vol. 230(2), pages 483-509.

  6. Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2020. "An Introduction To Bootstrap Theory In Time Series Econometrics," Discussion Papers 20-02, University of Copenhagen. Department of Economics.

    Cited by:

    1. Max Breitenlechner & Georgios Georgiadis & Ben Schumann, 2021. "What goes around comes around: How large are spillbacks from US monetary policy?," GRU Working Paper Series GRU_2021_003, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.

  7. Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor, 2020. "Adaptive Inference in Heteroskedastic Fractional Time Series Models," CREATES Research Papers 2020-08, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
    2. Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor, 2020. "Adaptive Inference in Heteroskedastic Fractional Time Series Models," CREATES Research Papers 2020-08, Department of Economics and Business Economics, Aarhus University.
    3. Lui, Yiu Lim & Phillips, Peter C.B. & Yu, Jun, 2022. "Robust Testing for Explosive Behavior with Strongly Dependent Errors," Economics and Statistics Working Papers 11-2022, Singapore Management University, School of Economics.
    4. Javier Hualde & Morten Ørregaard Nielsen, 2022. "Truncated sum-of-squares estimation of fractional time series models with generalized power law trend," Working Paper 1458, Economics Department, Queen's University.
    5. Lujia Bai & Weichi Wu, 2021. "Detecting long-range dependence for time-varying linear models," Papers 2110.08089, arXiv.org, revised Mar 2023.
    6. David I. Harvey & Stephen J. Leybourne & Yang Zu, 2023. "Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(2), pages 181-205, March.

  8. Giuseppe Cavaliere & Iliyan Georgiev, 2019. "Inference under random limit bootstrap measures," Papers 1911.12779, arXiv.org, revised Dec 2019.

    Cited by:

    1. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data," MPRA Paper 110899, University Library of Munich, Germany.
    2. Perron, Pierre & Yamamoto, Yohei & 山本, 庸平 & Zhou, Jing, 2019. "Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model," Discussion paper series HIAS-E-85, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    3. Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021. "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
    4. Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023. "Bootstrap inference for Hawkes and general point processes," Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
    5. Timothy Conley & Sílvia Gonçalves & Min Seong Kim & Benoit Perron, 2022. "Bootstrap Inference Under Cross Sectional Dependence," Working papers 2022-14, University of Connecticut, Department of Economics.
    6. Fukang Zhu & Mengya Liu & Shiqing Ling & Zongwu Cai, 2020. "Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202021, University of Kansas, Department of Economics, revised Dec 2020.
    7. Christis Katsouris, 2023. "Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models," Papers 2307.14463, arXiv.org.
    8. Portnoy, Stephen, 2022. "Canonical quantile regression," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    9. Giuseppe Cavaliere & S'ilvia Gonc{c}alves & Morten {O}rregaard Nielsen & Edoardo Zanelli, 2022. "Bootstrap inference in the presence of bias," Papers 2208.02028, arXiv.org, revised Nov 2023.
    10. Angelini, Giovanni & Cavaliere, Giuseppe & Fanelli, Luca, 2024. "An identification and testing strategy for proxy-SVARs with weak proxies," Journal of Econometrics, Elsevier, vol. 238(2).
    11. Christis Katsouris, 2023. "Limit Theory under Network Dependence and Nonstationarity," Papers 2308.01418, arXiv.org, revised Aug 2023.
    12. Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli, 2022. "Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 3-22, January.
    13. Lucio Palazzo & Riccardo Ievoli, 2022. "A Semiparametric Approach to Test for the Presence of INAR: Simulations and Empirical Applications," Mathematics, MDPI, vol. 10(14), pages 1-18, July.

  9. Giuseppe Cavaliere & Heino Bohn Nielsen & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "Bootstrap Inference On The Boundary Of The Parameter Space With Application To Conditional Volatility Models," Discussion Papers 18-10, University of Copenhagen. Department of Economics.

    Cited by:

    1. Xuanling Yang & Dong Li, 2022. "Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 938-963, November.
    2. Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
    3. Alexander Heinemann, 2019. "A Bootstrap Test for the Existence of Moments for GARCH Processes," Papers 1902.01808, arXiv.org, revised Jul 2019.
    4. Heino Bohn Nielsen & Anders Rahbek, 2023. "Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary," Papers 2302.02867, arXiv.org.
    5. Francq, Christian & Zakoïan, Jean-Michel, 2022. "Testing the existence of moments for GARCH processes," Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.

  10. Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor, 2017. "Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form," CREATES Research Papers 2017-02, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Paulo M.M. Rodrigues & Marina Balboa, 2021. "Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume," Working Papers w202102, Banco de Portugal, Economics and Research Department.
    2. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
    3. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
    4. Javier Hualde & Morten Ørregaard Nielsen, 2022. "Truncated sum-of-squares estimation of fractional time series models with generalized power law trend," Working Paper 1458, Economics Department, Queen's University.
    5. Lujia Bai & Weichi Wu, 2021. "Detecting long-range dependence for time-varying linear models," Papers 2110.08089, arXiv.org, revised Mar 2023.
    6. K. Nadarajah & Gael M. Martin & D.S. Poskitt, 2014. "Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 18/14, Monash University, Department of Econometrics and Business Statistics.
    7. Skrobotov Anton, 2023. "Testing for explosive bubbles: a review," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-26, January.
    8. Anton Skrobotov, 2022. "Testing for explosive bubbles: a review," Papers 2207.08249, arXiv.org.
    9. Yacouba Boubacar Maïnassara & Youssef Esstafa & Bruno Saussereau, 2021. "Estimating FARIMA models with uncorrelated but non-independent error terms," Statistical Inference for Stochastic Processes, Springer, vol. 24(3), pages 549-608, October.
    10. Dalla, Violetta & Giraitis, Liudas & Robinson, Peter M., 2020. "Asymptotic theory for time series with changing mean and variance," Journal of Econometrics, Elsevier, vol. 219(2), pages 281-313.

  11. Giuseppe Cavaliere & Iliyan Georgiev & Robert Taylor, 2016. "Unit root inference for non-stationary linear processes driven by infinite variance innovations," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.

    Cited by:

    1. Guili Liao & Qimeng Liu & Rongmao Zhang & Shifang Zhang, 2022. "Rank test of unit‐root hypothesis with AR‐GARCH errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(5), pages 695-719, September.
    2. Skrobotov, Anton, 2022. "On robust testing for trend," Economics Letters, Elsevier, vol. 212(C).
    3. Lorenzo Trapani, 2021. "Testing for strict stationarity in a random coefficient autoregressive model," Econometric Reviews, Taylor & Francis Journals, vol. 40(3), pages 220-256, April.
    4. Fatma Ozgu Serttas, 2018. "Infinite-Variance Error Structure in Finance and Economics," International Econometric Review (IER), Econometric Research Association, vol. 10(1), pages 14-23, April.
    5. Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2021. "Inference in heavy-tailed non-stationary multivariate time series," Papers 2107.13894, arXiv.org.
    6. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    7. Pedersen, Rasmus Søndergaard, 2017. "Robust inference in conditionally heteroskedastic autoregressions," MPRA Paper 81979, University Library of Munich, Germany.
    8. Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2020. "Determining the rank of cointegration with infinite variance," Discussion Papers 20/01, University of Nottingham, Granger Centre for Time Series Econometrics.

  12. Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli, 2016. "Bootstrapping DSGE models," Quaderni di Dipartimento 3, Department of Statistics, University of Bologna.

    Cited by:

    1. Angelini, Giovanni, 2020. "Bootstrap lag selection in DSGE models with expectations correction," Econometrics and Statistics, Elsevier, vol. 14(C), pages 38-48.

  13. Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Quaderni di Dipartimento 6, Department of Statistics, University of Bologna.

    Cited by:

    1. Giuseppe Cavaliere & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "The Fixed Volatility Bootstrap for a Class of Arch(q) Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 920-941, November.
    2. Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Papers 1905.01798, arXiv.org.
    3. Jiang, Feiyu & Li, Dong & Zhu, Ke, 2020. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Journal of Econometrics, Elsevier, vol. 215(1), pages 165-183.
    4. Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022. "Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models," Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
    5. Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021. "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
    6. Luiza S. C. Piancastelli & Wagner Barreto‐Souza & Hernando Ombao, 2023. "Flexible bivariate INGARCH process with a broad range of contemporaneous correlation," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(2), pages 206-222, March.
    7. Heino Bohn Nielsen & Anders Rahbek, 2023. "Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary," Papers 2302.02867, arXiv.org.
    8. Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli, 2022. "Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 3-22, January.

  14. Giuseppe Cavaliere & Luca De Angelis & Luca Fanelli, 2016. "Co-integration rank determination in partial systems using information criteria," Quaderni di Dipartimento 4, Department of Statistics, University of Bologna.

    Cited by:

    1. Takamitsu Kurita & Bent Nielsen, 2019. "Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms," Econometrics, MDPI, vol. 7(4), pages 1-35, October.

  15. Cavaliere, G & De Angelis, L & Rahbek, A & Taylor, AMR, 2016. "Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order," Essex Finance Centre Working Papers 17454, University of Essex, Essex Business School.

    Cited by:

    1. Motegi, Kaiji & Iitsuka, Yoshitaka, 2023. "Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    2. Gianluca CubaddaTor Vergata & Marco MazzaliTor Vergata, 2024. "The vector error correction index model: representation, estimation and identification," The Econometrics Journal, Royal Economic Society, vol. 27(1), pages 126-150.
    3. Guillermo Carlomagno & Antoni Espasa, 2021. "Discovering Specific Common Trends in a Large Set of Disaggregates: Statistical Procedures, their Properties and an Empirical Application," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 641-662, June.
    4. Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High Dimensional Vector Autoregressive Models," CEIS Research Paper 534, Tor Vergata University, CEIS, revised 24 Mar 2022.
    5. Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2021. "Inference in heavy-tailed non-stationary multivariate time series," Papers 2107.13894, arXiv.org.
    6. She, Rui & Ling, Shiqing, 2020. "Inference in heavy-tailed vector error correction models," Journal of Econometrics, Elsevier, vol. 214(2), pages 433-450.
    7. Anna Pajor & Justyna Wróblewska, 2022. "Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 427-448, September.
    8. Helmut Lütkepohl & Aleksei Netšunajev, 2018. "The Relation between Monetary Policy and the Stock Market in Europe," Econometrics, MDPI, vol. 6(3), pages 1-14, August.
    9. H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2023. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Econometric Reviews, Taylor & Francis Journals, vol. 42(9-10), pages 725-757, November.

  16. Skrobotov Anton & Cavaliere Giuseppe & Taylor Robert, 2016. "Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility," Working Papers wpaper-2016-269, Gaidar Institute for Economic Policy, revised 2016.

    Cited by:

    1. Zou, Nan & Politis, Dimitris N., 2021. "Bootstrap seasonal unit root test under periodic variation," Econometrics and Statistics, Elsevier, vol. 19(C), pages 1-21.
    2. del Barrio Castro, Tomás & Osborn, Denise R., 2023. "Periodic Integration and Seasonal Unit Roots," MPRA Paper 117935, University Library of Munich, Germany, revised 2023.
    3. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.

  17. Giuseppe Cavaliere & Iliyan Georgiev & A.M. Robert Taylor, 2015. "Sieve-based inference for infinite-variance linear processes," Quaderni di Dipartimento 4, Department of Statistics, University of Bologna.

    Cited by:

    1. Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019. "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, vol. 209(2), pages 208-237.
    2. Pedersen, Rasmus Søndergaard, 2017. "Robust inference in conditionally heteroskedastic autoregressions," MPRA Paper 81979, University Library of Munich, Germany.

  18. Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek, 2015. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," CREATES Research Papers 2015-11, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Escribano, Ana & Maggi, Mario, 2019. "Intersectoral default contagion: A multivariate Poisson autoregression analysis," Economic Modelling, Elsevier, vol. 82(C), pages 376-400.
    2. Huaping Chen, 2023. "A New Soft-Clipping Discrete Beta GARCH Model and Its Application on Measles Infection," Stats, MDPI, vol. 6(1), pages 1-19, February.
    3. Huaping Chen & Qi Li & Fukang Zhu, 2023. "A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(7), pages 805-826, October.
    4. Arianna Agosto & Paolo Giudici, 2020. "A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics," Risks, MDPI, vol. 8(3), pages 1-8, July.
    5. Giovanni Angelini & Luca De Angelis, 2017. "PARX model for football match predictions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(7), pages 795-807, November.
    6. Paolo Gorgi & Siem Jan Koopman, 2020. "Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects," Tinbergen Institute Discussion Papers 20-004/III, Tinbergen Institute.
    7. Stefano Cabras, 2021. "A Bayesian-Deep Learning Model for Estimating COVID-19 Evolution in Spain," Mathematics, MDPI, vol. 9(22), pages 1-18, November.
    8. Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022. "Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models," Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
    9. Rémy Garnier, 2022. "Concurrent neural network: a model of competition between times series," Annals of Operations Research, Springer, vol. 313(2), pages 945-964, June.
    10. Dennis Kristensen & Young Jun Lee, 2019. "Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models," Papers 1904.05209, arXiv.org, revised Aug 2023.
    11. Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023. "Bootstrap inference for Hawkes and general point processes," Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
    12. Christis Katsouris, 2024. "Robust Estimation in Network Vector Autoregression with Nonstationary Regressors," Papers 2401.04050, arXiv.org.
    13. Lu, Ye & Suthaharan, Neyavan, 2023. "Electricity price spike clustering: A zero-inflated GARX approach," Energy Economics, Elsevier, vol. 124(C).
    14. Maia, Gisele de Oliveira & Barreto-Souza, Wagner & Bastos, Fernando de Souza & Ombao, Hernando, 2021. "Semiparametric time series models driven by latent factor," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1463-1479.
    15. Arianna Agosto & Paolo Giudici, 2020. "COVID-19 contagion and digital finance," Digital Finance, Springer, vol. 2(1), pages 159-167, September.
    16. Aknouche, Abdelhakim & Francq, Christian, 2018. "Count and duration time series with equal conditional stochastic and mean orders," MPRA Paper 90838, University Library of Munich, Germany.
    17. Geir D. Berentsen & Jan Bulla & Antonello Maruotti & Bård Støve, 2022. "Modelling clusters of corporate defaults: Regime‐switching models significantly reduce the contagion source," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(3), pages 698-722, June.
    18. Giovanni Angelini & Giuseppe Cavaliere & Enzo D'Innocenzo & Luca De Angelis, 2022. "Time-Varying Poisson Autoregression," Papers 2207.11003, arXiv.org.
    19. Wang, Xiaoting & Hou, Siyuan & Shen, Jie, 2021. "Default clustering of the nonfinancial sector and systemic risk: Evidence from China," Economic Modelling, Elsevier, vol. 96(C), pages 196-208.
    20. Gorgi, P. & Koopman, S.J., 2023. "Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects," Journal of Econometrics, Elsevier, vol. 237(2).
    21. Yang, Kai & Yu, Xinyang & Zhang, Qingqing & Dong, Xiaogang, 2022. "On MCMC sampling in self-exciting integer-valued threshold time series models," Computational Statistics & Data Analysis, Elsevier, vol. 169(C).
    22. Rasmus Soendergaard Pedersen & Anders Rahbek, 2017. "Testing Garch-X Type Models," Discussion Papers 17-15, University of Copenhagen. Department of Economics.
    23. Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek, 2021. "Specification tests for GARCH processes," Discussion Papers 21-06, University of Copenhagen. Department of Economics.
    24. Truquet, Lionel, 2023. "Strong mixing properties of discrete-valued time series with exogenous covariates," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 294-317.
    25. Huaping Chen & Qi Li & Fukang Zhu, 2022. "A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 106(2), pages 243-270, June.
    26. Giada Adelfio & Arianna Agosto & Marcello Chiodi & Paolo Giudici, 2021. "Financial contagion through space-time point processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 665-688, June.
    27. Gagliardini, Patrick & Gouriéroux, Christian, 2019. "Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects," Journal of Econometrics, Elsevier, vol. 208(2), pages 613-637.
    28. Mengya Liu & Qi Li & Fukang Zhu, 2020. "Self-excited hysteretic negative binomial autoregression," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(3), pages 385-415, September.
    29. Randal Douc & François Roueff & Tepmony Sim, 2021. "Necessary and sufficient conditions for the identifiability of observation‐driven models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(2), pages 140-160, March.

  19. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
    2. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
    3. Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics 14/29, University of Canterbury, Department of Economics and Finance.
    4. Javier Hualde & Morten Ørregaard Nielsen, 2022. "Truncated sum-of-squares estimation of fractional time series models with generalized power law trend," Working Paper 1458, Economics Department, Queen's University.
    5. Luis A. Gil‐Alana & Robert Mudida & OlaOluwa S. Yaya & Kazeem A. Osuolale & Ahamuefula E. Ogbonna, 2021. "Mapping US presidential terms with S&P500 index: Time series analysis approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1938-1954, April.
    6. Demetrescu, Matei & Sibbertsen, Philipp, 2014. "Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility," Hannover Economic Papers (HEP) dp-531, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    7. Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2016. "Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form," Working Paper 1324, Economics Department, Queen's University.
    8. Gil-Alana, Luis A. & Mudida, Robert & Yaya, OlaOluwa S & Osuolale, Kazeem & Ogbonna, Ephraim A, 2019. "Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach," MPRA Paper 93941, University Library of Munich, Germany.
    9. Chang, C-L. & McAleer, M.J., 2014. "Econometric Analysis of Financial Derivatives," Econometric Institute Research Papers EI 2015-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

  20. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers 13-13, University of Copenhagen. Department of Economics.

    Cited by:

    1. Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Quaderni di Dipartimento 6, Department of Statistics, University of Bologna.
    2. H. Peter Boswijk & Yang Zu, 2022. "Adaptive Testing for Cointegration With Nonstationary Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 744-755, April.
    3. Skrobotov, Anton, 2022. "On robust testing for trend," Economics Letters, Elsevier, vol. 212(C).
    4. Paulo M.M. Rodrigues & Marina Balboa, 2021. "Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume," Working Papers w202102, Banco de Portugal, Economics and Research Department.
    5. Michal Ksawery Popiel, 2016. "Interest Rate Pass-through: A Nonlinear Vector Error-correction Approach," Working Paper 1352, Economics Department, Queen's University.
    6. Boldea, Otilia & Cornea-Madeira, Adriana & Hall, Alastair R., 2019. "Bootstrapping structural change tests," Journal of Econometrics, Elsevier, vol. 213(2), pages 359-397.
    7. Graziano Moramarco, 2020. "Measuring Global Macroeconomic Uncertainty," Working Papers wp1148, Dipartimento Scienze Economiche, Universita' di Bologna.
    8. Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021. "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
    9. Motegi, Kaiji & Iitsuka, Yoshitaka, 2023. "Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    10. Georgiev, I & Harvey, DI & Leybourne, SJ & Taylor, AM, 2018. "Testing for Parameter Instability in Predictive Regression Models," Essex Finance Centre Working Papers 21162, University of Essex, Essex Business School.
    11. Paulo M.M. Rodrigues & Matei Demetrescu, 2019. "Testing for Episodic Predictability in Stock Returns," Working Papers w201906, Banco de Portugal, Economics and Research Department.
    12. Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018. "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
    13. Canepa Alessandra, 2022. "Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors," Journal of Time Series Econometrics, De Gruyter, vol. 14(1), pages 51-85, January.
    14. Takamitsu Kurita & Bent Nielsen, 2019. "Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms," Econometrics, MDPI, vol. 7(4), pages 1-35, October.
    15. Lukasz Gatarek & Søren Johansen, 2017. "The role of cointegration for optimal hedging with heteroscedastic error term," CREATES Research Papers 2017-12, Department of Economics and Business Economics, Aarhus University.
    16. Takamitsu Kurita & B. Nielsen, 2018. "Partial cointegrated vector autoregressive models with structural breaks in deterministic terms," Economics Papers 2018-W03, Economics Group, Nuffield College, University of Oxford.
    17. Rustam Ibragimov & Jihyun Kim & Anton Skrobotov, 2020. "New robust inference for predictive regressions," Papers 2006.01191, arXiv.org, revised Mar 2023.
    18. H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2023. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Econometric Reviews, Taylor & Francis Journals, vol. 42(9-10), pages 725-757, November.
    19. Skrobotov Anton & Cavaliere Giuseppe & Taylor Robert, 2016. "Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility," Working Papers wpaper-2016-269, Gaidar Institute for Economic Policy, revised 2016.
    20. Kemal Çag̃lar Gög̃ebakan & Burak Alparslan Eroglu, 2022. "Non-parametric seasonal unit root tests under periodic non-stationary volatility," Computational Statistics, Springer, vol. 37(5), pages 2581-2636, November.

  21. Giuseppe Cavaliere & Iliyan Georgiev, 2013. "Exploiting infinite variance through Dummy Variables in non-stationary autoregressions," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.

    Cited by:

    1. Katleho Makatjane, 2022. "Forecasting Uncertainty Intervals for Return Period of Extreme Daily Electricity Consumption," International Journal of Energy Economics and Policy, Econjournals, vol. 12(4), pages 217-225, July.
    2. Søren Johansen & Bent Nielsen, 2014. "Outlier detection algorithms for least squares time series regression," CREATES Research Papers 2014-39, Department of Economics and Business Economics, Aarhus University.
    3. Søren Johansen & Bent Nielsen, 2013. "Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator," Econometrics, MDPI, vol. 1(1), pages 1-18, May.
    4. Lukasz Gatarek & Søren Johansen, 2014. "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers 14-22, University of Copenhagen. Department of Economics.
    5. Søren Johansen & Bent Nielsen, 2011. "Asymptotic theory for iterated one-step Huber-skip estimators," CREATES Research Papers 2011-40, Department of Economics and Business Economics, Aarhus University.
    6. Bent Nielsen & Xiyu Jiao, 2016. "Asymptotic Analysis of Iterated 1-step Huber-skip M-estimators with Varying Cut-offs," Economics Papers 2016-W08, Economics Group, Nuffield College, University of Oxford.

  22. Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A.M.Robert Taylor, 2013. "A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models," Quaderni di Dipartimento 4, Department of Statistics, University of Bologna.

    Cited by:

    1. Gianluca CubaddaTor Vergata & Marco MazzaliTor Vergata, 2024. "The vector error correction index model: representation, estimation and identification," The Econometrics Journal, Royal Economic Society, vol. 27(1), pages 126-150.
    2. Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High Dimensional Vector Autoregressive Models," CEIS Research Paper 534, Tor Vergata University, CEIS, revised 24 Mar 2022.
    3. Pajor Anna & Wróblewska Justyna, 2017. "VEC-MSF models in Bayesian analysis of short- and long-run relationships," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-22, June.
    4. Anna Pajor & Justyna Wróblewska, 2022. "Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 427-448, September.
    5. H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2023. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Econometric Reviews, Taylor & Francis Journals, vol. 42(9-10), pages 725-757, November.

  23. Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.

    Cited by:

    1. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
    2. Luca Benati & Robert Lucas, Jr. & Juan Nicolini & Warren Weber, 2016. "International Evidence on Long Run Money Demand," Working Papers id:11152, eSocialSciences.

  24. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2012. "Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models," CREATES Research Papers 2012-36, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Carsten Jentsch & Dimitris N. Politis & Efstathios Paparoditis, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 416-441, May.
    2. Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 269-271, May.
    3. Jesús Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2022. "Multivariate Cointegration and Temporal Aggregation: Some Further Simulation Results," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 59-70, January.
    4. Eroğlu, Burak Alparslan, 2019. "Wavelet variance ratio cointegration test and wavestrapping," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 298-319.
    5. Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
    6. Luca Benati, 2015. "The Long-Run Phillips Curve: A Structural VAR Investigation," 2015 Meeting Papers 929, Society for Economic Dynamics.
    7. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
    8. Luca Benati & Robert Lucas, Jr. & Juan Nicolini & Warren Weber, 2016. "International Evidence on Long Run Money Demand," Working Papers id:11152, eSocialSciences.
    9. Luca Benati, 2017. "Cointegration Tests and the Classical Dichotomy," Diskussionsschriften dp1704, Universitaet Bern, Departement Volkswirtschaft.
    10. Hanck, Christoph & Demetrescu, Matei & Tarcolea, Adina, 2012. "IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62072, Verein für Socialpolitik / German Economic Association.
    11. Jentsch, Carsten & Paparoditis, Efstathios & Politis, Dimitris N., 2014. "Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes," Working Papers 14-18, University of Mannheim, Department of Economics.
    12. Marcus J. Chambers, 2015. "A Jackknife Correction to a Test for Cointegration Rank," Econometrics, MDPI, vol. 3(2), pages 1-21, May.
    13. Ingrid Groessl & Artur Tarassow, 2018. "A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence," Macroeconomics and Finance Series 201802, University of Hamburg, Department of Socioeconomics.
    14. Burak Eroglu, 2017. "Wavelet Variance Ratio Test And Wavestrapping For The Determination Of The Cointegration Rank," Working Papers 1706, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
    15. Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.
    16. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
    17. Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018. "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
    18. Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
    19. Phillips, Peter C.B. & Magdalinos, Tassos, 2013. "Inconsistent Var Regression With Common Explosive Roots," Econometric Theory, Cambridge University Press, vol. 29(4), pages 808-837, August.
    20. Al-Sadoon, Majid M., 2017. "A unifying theory of tests of rank," Journal of Econometrics, Elsevier, vol. 199(1), pages 49-62.
    21. Sven Schreiber, 2019. "On (bootstrapped) cointegration tests in partial systems," IMK Working Paper 199-2019, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    22. Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.
    23. Michael T. Belongia & Peter N. Ireland, 2017. "The Demand for Divisia Money: Theory and Evidence," Boston College Working Papers in Economics 937, Boston College Department of Economics.
    24. Gkillas, Konstantinos & Konstantatos, Christoforos & Floros, Christos & Tsagkanos, Athanasios, 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis," International Review of Financial Analysis, Elsevier, vol. 74(C).
    25. Andreas Hetland & Simon Hetland, 2017. "Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market," Econometrics, MDPI, vol. 5(3), pages 1-21, September.
    26. H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2023. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Econometric Reviews, Taylor & Francis Journals, vol. 42(9-10), pages 725-757, November.
    27. Jurgen A. Doornik, 2017. "Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions," Econometrics, MDPI, vol. 5(2), pages 1-20, May.
    28. Anne Lundgaard Hansen, 2018. "Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling," Discussion Papers 18-12, University of Copenhagen. Department of Economics.

  25. 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.

    Cited by:

    1. GwanSeon Kim & Tyler Mark, 2017. "Impacts of corn price and imported beef price on domestic beef price in South Korea," Agricultural and Food Economics, Springer;Italian Society of Agricultural Economics (SIDEA), vol. 5(1), pages 1-13, December.
    2. Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020. "Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series," Boston University - Department of Economics - Working Papers Series WP2020-009, Boston University - Department of Economics.
    3. Smeekes, S. & Urbain, J.R.Y.J., 2014. "A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing," Research Memorandum 008, Maastricht University, Graduate School of Business and Economics (GSBE).
    4. Jin Guo & Tetsuji Tanaka, 2020. "Examining the determinants of global and local price passthrough in cereal markets: evidence from DCC-GJR-GARCH and panel analyses," Agricultural and Food Economics, Springer;Italian Society of Agricultural Economics (SIDEA), vol. 8(1), pages 1-22, December.
    5. Cavaliere, G. & Phillips, P.C.B. & Smeekes, S. & Taylor, A.M.R., 2011. "Lag length selection for unit root tests in the presence of nonstationary volatility," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    6. Oanea, Dumitru-Cristian, 2015. "Financial markets integration: A vector error-correction approach," The Journal of Economic Asymmetries, Elsevier, vol. 12(2), pages 153-161.
    7. Skrobotov Anton & Cavaliere Giuseppe & Taylor Robert, 2016. "Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility," Working Papers wpaper-2016-269, Gaidar Institute for Economic Policy, revised 2016.
    8. Nguyen, Xuan & Nguyen, Cuong, 2016. "The Impact of Petroleum Retail Price Shocks on Inflation in Vietnam," MPRA Paper 93136, University Library of Munich, Germany.
    9. Kung-Sik Chan & Simone Giannerini & Greta Goracci & Howell Tong, 2020. "Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis," Papers 2002.09968, arXiv.org, revised Nov 2021.
    10. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    11. Xu, Bin & Lin, Boqiang, 2016. "Reducing CO2 emissions in China's manufacturing industry: Evidence from nonparametric additive regression models," Energy, Elsevier, vol. 101(C), pages 161-173.

  26. Giuseppe Cavaliere & Anders Rahbek & Taylor A.M.Robert, 2011. "Bootstrap determination of the co-integration rank in VAR models," Quaderni di Dipartimento 9, Department of Statistics, University of Bologna.

    Cited by:

    1. Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
    2. Søren Johansen & Morten Ørregaard Nielsen, 2016. "The cointegrated vector autoregressive model with general deterministic terms," Discussion Papers 16-07, University of Copenhagen. Department of Economics.
    3. Schreiber, Sven, 2018. "Are bootstrapped cointegration test findings unreliable?," Discussion Papers 2018/8, Free University Berlin, School of Business & Economics.
    4. Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.
    5. Søren Johansen, 2014. "Times Series: Cointegration," CREATES Research Papers 2014-38, Department of Economics and Business Economics, Aarhus University.

  27. Guiseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," CREATES Research Papers 2010-07, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Kascha, Christian & Trenkler, Carsten, 2011. "Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order," Computational Statistics & Data Analysis, Elsevier, vol. 55(2), pages 1008-1017, February.
    2. Bicu, A.C. & Candelon, B., 2012. "Government bond market dynamics and sovereign risk: systemic or idiosyncratic?," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    3. Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.
    4. Swensen, Anders Rygh, 2011. "A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables," Journal of Econometrics, Elsevier, vol. 165(2), pages 152-162.

  28. Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2010. "Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion," Discussion Papers 10/04, University of Nottingham, Granger Centre for Time Series Econometrics.

    Cited by:

    1. Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 269-271, May.
    2. Guillaume Chevillon, 2013. "Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming," Working Papers hal-00914830, HAL.
    3. Hutter, Christian & Klinger, Sabine & Trenkler, Carsten & Weber, Enzo, 2019. "Which factors are behind Germany's labour market upswing?," IAB-Discussion Paper 201920, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    4. Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.

  29. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009. "Co-integration Rank Testing under Conditional Heteroskedasticity," CREATES Research Papers 2009-22, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Papapostolou, Nikos C. & Pouliasis, Panos K. & Nomikos, Nikos K. & Kyriakou, Ioannis, 2016. "Shipping investor sentiment and international stock return predictability," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 96(C), pages 81-94.
    2. Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2014. "Inference in VARs with Conditional Heteroskedasticity of Unknown Form," Working Papers 14-21, University of Mannheim, Department of Economics.
    3. Krauss, Christopher & Herrmann, Klaus & Teis, Stefan, 2015. "On the power and size properties of cointegration tests in the light of high-frequency stylized facts," FAU Discussion Papers in Economics 11/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    4. Dimpfl, Thomas, 2014. "A note on cointegration of international stock market indices," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 10-16.
    5. Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
    6. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
    7. Guiseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," CREATES Research Papers 2010-07, Department of Economics and Business Economics, Aarhus University.
    8. Cavusoglu, Nevin & Goldberg, Michael D. & Stillwagon, Josh, 2021. "Currency returns and downside risk: Debt, volatility, and the gap from benchmark values," Journal of Macroeconomics, Elsevier, vol. 68(C).
    9. Jentsch, Carsten & Paparoditis, Efstathios & Politis, Dimitris N., 2014. "Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes," Working Papers 14-18, University of Mannheim, Department of Economics.
    10. Barigozzi, Matteo, 2018. "On the stability of euro area money demand and its implications for monetary policy," LSE Research Online Documents on Economics 87283, London School of Economics and Political Science, LSE Library.
    11. Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.
    12. Majid M. Al-Sadoon, 2015. "A General Theory of Rank Testing," Working Papers 750, Barcelona School of Economics.
    13. Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021. "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
    14. Eduardo Rossi & Paolo Santucci de Magistris, 2013. "A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(1), pages 77-102, January.
    15. Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018. "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
    16. Christian Kascha & Carsten Trenkler, 2011. "Cointegrated VARMA models and forecasting US interest rates," ECON - Working Papers 033, Department of Economics - University of Zurich.
    17. Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2013. "Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion," Econometric Reviews, Taylor & Francis Journals, vol. 32(7), pages 814-847, October.
    18. Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
    19. Phillips, Peter C.B. & Magdalinos, Tassos, 2013. "Inconsistent Var Regression With Common Explosive Roots," Econometric Theory, Cambridge University Press, vol. 29(4), pages 808-837, August.
    20. Al-Sadoon, Majid M., 2017. "A unifying theory of tests of rank," Journal of Econometrics, Elsevier, vol. 199(1), pages 49-62.
    21. Canepa Alessandra, 2022. "Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors," Journal of Time Series Econometrics, De Gruyter, vol. 14(1), pages 51-85, January.
    22. Takamitsu Kurita & Bent Nielsen, 2019. "Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms," Econometrics, MDPI, vol. 7(4), pages 1-35, October.
    23. Harris, D & Leybourne, SJ & Taylor, AMR, 2016. "Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point," Essex Finance Centre Working Papers 15847, University of Essex, Essex Business School.
    24. Erick Lahura, 2017. "Monetary Aggregates and Monetary Policy in Peru," BCAM Working Papers 1704, Birkbeck Centre for Applied Macroeconomics.
    25. Lukasz Gatarek & Søren Johansen, 2017. "The role of cointegration for optimal hedging with heteroscedastic error term," CREATES Research Papers 2017-12, Department of Economics and Business Economics, Aarhus University.
    26. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, Department of Economics and Business Economics, Aarhus University.
    27. Osbat, Chiara & Corbo, Vesna, 2012. "Optimism bias? The elasticity puzzle in international economics revisited," Working Paper Series 1482, European Central Bank.
    28. Lieb, Lenard & Smeekes, Stephan, 2017. "Inference for Impulse Responses under Model Uncertainty," Research Memorandum 022, Maastricht University, Graduate School of Business and Economics (GSBE).
    29. Takamitsu Kurita & B. Nielsen, 2018. "Partial cointegrated vector autoregressive models with structural breaks in deterministic terms," Economics Papers 2018-W03, Economics Group, Nuffield College, University of Oxford.
    30. Mezgebo, Taddese, 2009. "A multivariate approach for identification of optimal locations with in Ethiopia’s wheat market to tackle soaring inflation on food price (Extended version)," MPRA Paper 17960, University Library of Munich, Germany.
    31. Smallwood, Aaron D., 2019. "Analyzing exchange rate uncertainty and bilateral export growth in China: A multivariate GARCH-based approach," Economic Modelling, Elsevier, vol. 82(C), pages 332-344.
    32. Bicu, A.C. & Candelon, B., 2012. "Government bond market dynamics and sovereign risk: systemic or idiosyncratic?," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    33. Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.
    34. Li, Yingzi & Fortenbery, T. Randall, 2013. "Do Speculators in Futures Markets Make Cash Markets More Volatile?," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 151296, Agricultural and Applied Economics Association.
    35. Łukasz Goczek & Dagmara Mycielska, 2013. "Ready for euro? Empirical study of the actual monetary policy independence in Poland," Working Papers 2013-13, Faculty of Economic Sciences, University of Warsaw.
    36. Andreas Hetland & Simon Hetland, 2017. "Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market," Econometrics, MDPI, vol. 5(3), pages 1-21, September.
    37. Helmut Lütkepohl & Aleksei Netšunajev, 2018. "The Relation between Monetary Policy and the Stock Market in Europe," Econometrics, MDPI, vol. 6(3), pages 1-14, August.
    38. Canepa, Alessandra, 2020. "Bootstrap Bartlett Adjustment for Hypotheses Testing on Cointegrating Vectors," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202006, University of Turin.
    39. Lin, Qi, 2018. "Technical analysis and stock return predictability: An aligned approach," Journal of Financial Markets, Elsevier, vol. 38(C), pages 103-123.
    40. Yiuman Tse, 2018. "Return predictability and contrarian profits of international index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(7), pages 788-803, July.
    41. Christopher Krauss & Klaus Herrmann, 2017. "On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts," JRFM, MDPI, vol. 10(1), pages 1-24, February.
    42. Swensen, Anders Rygh, 2011. "A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables," Journal of Econometrics, Elsevier, vol. 165(2), pages 152-162.
    43. Gao, Jun & Gao, Xiang & Gu, Chen, 2023. "Forecasting European stock volatility: The role of the UK," International Review of Financial Analysis, Elsevier, vol. 89(C).

  30. 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, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Francesca Iorio & Stefano Fachin, 2014. "Savings and investments in the OECD: a panel cointegration study with a new bootstrap test," Empirical Economics, Springer, vol. 46(4), pages 1271-1300, June.
    2. Sven Otto, 2020. "Unit Root Testing with Slowly Varying Trends," Papers 2003.04066, arXiv.org, revised Aug 2020.
    3. Pershin, Vitaly & Molero, Juan Carlos & de Gracia, Fernando Perez, 2016. "Exploring the oil prices and exchange rates nexus in some African economies," Journal of Policy Modeling, Elsevier, vol. 38(1), pages 166-180.
    4. Paulo M. M. Rodrigues, 2013. "Recursive adjustment, unit root tests and structural breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 62-82, January.
    5. Sven Otto, 2021. "Unit root testing with slowly varying trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 85-106, January.
    6. Addison, Tony & Ghoshray, Atanu, 2023. "Discerning trends in international metal prices in the presence of nonstationary volatility," Resource and Energy Economics, Elsevier, vol. 71(C).
    7. Husein, Jamal, 2020. "Current account sustainability for 21 African economies: Evidence based on nonlinear flexible Fourier stationarity and unit-root tests," MPRA Paper 100410, University Library of Munich, Germany.
    8. Sun, Jingwei & Shi, Wendong, 2015. "Breaks, trends, and unit roots in spot prices for crude oil and petroleum products," Energy Economics, Elsevier, vol. 50(C), pages 169-177.
    9. Anton Skrobotov, 2016. "On Trend Breaks and Initial Condition in Unit Root Testing," Working Papers 0097, Gaidar Institute for Economic Policy, revised 2016.
    10. Fossati, Sebastian, 2011. "Unit Root Testing with Stationary Covariates and a Structural Break in the Trend Function," Working Papers 2011-10, University of Alberta, Department of Economics.
    11. Lajos Horváth & Piotr Kokoszka & Jeremy VanderDoes & Shixuan Wang, 2022. "Inference in functional factor models with applications to yield curves," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 872-894, November.
    12. Mohitosh Kejriwal & Claude Lopez, 2013. "Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 892-927, November.
    13. Harris, D & Leybourne, SJ & Taylor, AMR, 2016. "Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point," Essex Finance Centre Working Papers 15847, University of Essex, Essex Business School.
    14. Aquino, Juan, 2019. "The Small Open Economy New-Keynesian Phillips Curve: Specification, Structural Breaks and Robustness," Working Papers 2019-019, Banco Central de Reserva del Perú.
    15. Emanuele Russo & Neil Foster-McGregor & Bart Verpagen, 2019. "Characterizing growth instability: new evidence on unit roots and structural breaks in long run time series," LEM Papers Series 2019/29, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    16. Dervis Kirikkaleli & Hasan Güngör, 2021. "Co-movement of commodity price indexes and energy price index: a wavelet coherence approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-18, December.
    17. David I. Harvey, & Stephen J. Leybourne, & A. M. Robert Taylor, 2007. "Testing for a unit root when uncertain about the trend [Revised to become 07/03 above]," Discussion Papers 06/03, University of Nottingham, Granger Centre for Time Series Econometrics.
    18. Harris, David & Kew, Hsein & Taylor, A.M. Robert, 2020. "Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem," Journal of Econometrics, Elsevier, vol. 219(2), pages 354-388.
    19. Emanuele Russo & Neil Foster-McGregor, 2022. "Characterizing growth instability: new evidence on unit roots and structural breaks in countries’ long run trajectories," Journal of Evolutionary Economics, Springer, vol. 32(2), pages 713-756, April.
    20. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.
    21. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2007. "Unit root testing in practice: dealing with uncertainty over the trend and initial condition," Discussion Papers 07/03, University of Nottingham, Granger Centre for Time Series Econometrics.
    22. Górecki, Tomasz & Horváth, Lajos & Kokoszka, Piotr, 2018. "Change point detection in heteroscedastic time series," Econometrics and Statistics, Elsevier, vol. 7(C), pages 63-88.
    23. Börger, Matthias & Schupp, Johannes, 2018. "Modeling trend processes in parametric mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 369-380.
    24. Wang, Shaoping & Li, Yanglin & Wen, Kuangyu, 2021. "Recursive adjusted unit root tests under non-stationary volatility," Economics Letters, Elsevier, vol. 205(C).
    25. Balcombe, Kelvin & Fraser, Iain, 2017. "Do bubbles have an explosive signature in markov switching models?," Economic Modelling, Elsevier, vol. 66(C), pages 81-100.
    26. Terence Mills, 2013. "Breaks and unit roots in global and hemispheric temperatures: an updated analysis," Climatic Change, Springer, vol. 118(3), pages 745-755, June.
    27. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    28. Terence C. Mills, 2013. "Trends, cycles and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 3, pages 45-60, Edward Elgar Publishing.
    29. Apergis, Nicholas & Bowden, Nicholas & Payne, James E., 2015. "Downstream integration of natural gas prices across U.S. states: Evidence from deregulation regime shifts," Energy Economics, Elsevier, vol. 49(C), pages 82-92.
    30. Neil Kellard & Denise Osborn & Jerry Coakley & Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2015. "Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 603-629, September.

  31. 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, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Helmut Herwartz & Martin Plödt, 2016. "Simulation Evidence on Theory-based and Statistical Identification under Volatility Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(1), pages 94-112, February.
    2. Herwartz Helmut & Roestel Jan, 2009. "Monetary Independence under Floating Exchange Rates: Evidence Based on International Breakeven Inflation Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(4), pages 1-25, September.
    3. Bec, Frédérique & Gollier, Christian, 2009. "Cyclicality and Term Structure of Value-at-Risk in Europe," IDEI Working Papers 587, Institut d'Économie Industrielle (IDEI), Toulouse.
    4. H. Peter Boswijk & Yang Zu, 2022. "Adaptive Testing for Cointegration With Nonstationary Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 744-755, April.
    5. Kascha, Christian & Trenkler, Carsten, 2011. "Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order," Computational Statistics & Data Analysis, Elsevier, vol. 55(2), pages 1008-1017, February.
    6. Herwartz, Helmut & Lange, Alexander & Maxand, Simone, 2019. "Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle," University of Göttingen Working Papers in Economics 375, University of Goettingen, Department of Economics.
    7. Krauss, Christopher & Herrmann, Klaus & Teis, Stefan, 2015. "On the power and size properties of cointegration tests in the light of high-frequency stylized facts," FAU Discussion Papers in Economics 11/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    8. Eroğlu, Burak Alparslan, 2019. "Wavelet variance ratio cointegration test and wavestrapping," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 298-319.
    9. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
    10. Guiseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," CREATES Research Papers 2010-07, Department of Economics and Business Economics, Aarhus University.
    11. Xu, Ke-Li, 2012. "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, vol. 169(2), pages 147-154.
    12. Smeekes, S. & Urbain, J.R.Y.J., 2014. "A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing," Research Memorandum 008, Maastricht University, Graduate School of Business and Economics (GSBE).
    13. Mahdi Barakchian, S., 2015. "Transmission of US monetary policy into the Canadian economy: A structural cointegration analysis," Economic Modelling, Elsevier, vol. 46(C), pages 11-26.
    14. Hanck, Christoph & Demetrescu, Matei & Tarcolea, Adina, 2012. "IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62072, Verein für Socialpolitik / German Economic Association.
    15. Jentsch, Carsten & Paparoditis, Efstathios & Politis, Dimitris N., 2014. "Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes," Working Papers 14-18, University of Mannheim, Department of Economics.
    16. Marcus J. Chambers, 2015. "A Jackknife Correction to a Test for Cointegration Rank," Econometrics, MDPI, vol. 3(2), pages 1-21, May.
    17. Helmut Herwartz & Yabibal M. Walle, 2018. "A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility," Computational Statistics, Springer, vol. 33(1), pages 379-411, March.
    18. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009. "Co-integration Rank Testing under Conditional Heteroskedasticity," CREATES Research Papers 2009-22, Department of Economics and Business Economics, Aarhus University.
    19. Osabuohien-Irabor Osarumwense & Julian I. Mbegbu, 2017. "Power and Size analysis of Co-integration tests in Conditional Heteroskedascity: A Monte Carlo Simulation," Romanian Statistical Review, Romanian Statistical Review, vol. 65(3), pages 17-34, September.
    20. Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.
    21. Majid M. Al-Sadoon, 2015. "A General Theory of Rank Testing," Working Papers 750, Barcelona School of Economics.
    22. Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021. "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
    23. Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson, 2015. "Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112916, Verein für Socialpolitik / German Economic Association.
    24. Constantin ANGHELACHE & Ioan Constantin DIMA & Mãdãlina-Gabriela ANGHEL, 2016. "Using the Autoregressive Model for the Economic Forecast during the Period 2014- 2018," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(1), pages 21-31, January.
    25. Paulo M.M. Rodrigues & Matei Demetrescu, 2019. "Testing for Episodic Predictability in Stock Returns," Working Papers w201906, Banco de Portugal, Economics and Research Department.
    26. Emerson Fernandes Marçal & Priscila Fernandes Ribeiro, 2011. "Levado pelos Fundamentos? Estimando o Desalinhamento Cambial Norte-Americano a partir de Técnicas de Cointegração," Discussion Papers 1674, Instituto de Pesquisa Econômica Aplicada - IPEA.
    27. Czudaj, Robert & Hanck, Christoph, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79734, Verein für Socialpolitik / German Economic Association.
    28. Hirukawa, Junichi & Raïssi, Hamdi, 2020. "Testing linear relationships between non-constant variances of economic variables," Economic Modelling, Elsevier, vol. 90(C), pages 182-189.
    29. Al-Sadoon, Majid M., 2017. "A unifying theory of tests of rank," Journal of Econometrics, Elsevier, vol. 199(1), pages 49-62.
    30. Canepa Alessandra, 2022. "Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors," Journal of Time Series Econometrics, De Gruyter, vol. 14(1), pages 51-85, January.
    31. Frédérique Bec, 2015. "Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup," Post-Print hal-02980012, HAL.
    32. Paulo M.M. Rodrigues & Matei Demetrescu, 2016. "Residual-augmented IVX predictive regression," Working Papers w201605, Banco de Portugal, Economics and Research Department.
    33. Osbat, Chiara & Corbo, Vesna, 2012. "Optimism bias? The elasticity puzzle in international economics revisited," Working Paper Series 1482, European Central Bank.
    34. Lieb, Lenard & Smeekes, Stephan, 2017. "Inference for Impulse Responses under Model Uncertainty," Research Memorandum 022, Maastricht University, Graduate School of Business and Economics (GSBE).
    35. Demetrescu, Matei & Sibbertsen, Philipp, 2014. "Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility," Hannover Economic Papers (HEP) dp-531, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    36. Christian M. Hafner & Helmut Herwartz, 2009. "Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(3), pages 294-323, August.
    37. Herwartz, Helmut & Plödt, Martin, 2014. "Sign restrictions and statistical identification under volatility breaks -- Simulation based evidence and an empirical application to monetary policy analysis," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100326, Verein für Socialpolitik / German Economic Association.
    38. Herwartz, H. & Siedenburg, F., 2008. "Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 53(1), pages 137-150, September.
    39. Boswijk, H. P. & Zu, Y., 2013. "Testing for Cointegration with Nonstationary Volatility," Working Papers 13/08, Department of Economics, City University London.
    40. Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.
    41. Matei Demetrescu & Christoph Hanck & Robinson Kruse, 2016. "Fixed-b Inference in the Presence of Time-Varying Volatility," CREATES Research Papers 2016-01, Department of Economics and Business Economics, Aarhus University.
    42. Marçal, Emerson Fernandes, 2014. "Desalinhamentos Cambiais, Interdependência, Crises, Guerras cambiais: Uma avaliação empírica," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(2), June.
    43. Matei Demetrescu & Christoph Hanck, 2013. "Nonlinear IV panel unit root testing under structural breaks in the error variance," Statistical Papers, Springer, vol. 54(4), pages 1043-1066, November.
    44. H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2023. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Econometric Reviews, Taylor & Francis Journals, vol. 42(9-10), pages 725-757, November.
    45. Skrobotov Anton & Cavaliere Giuseppe & Taylor Robert, 2016. "Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility," Working Papers wpaper-2016-269, Gaidar Institute for Economic Policy, revised 2016.
    46. Yu, Philip L.H. & Lu, Renjie, 2017. "Cointegrated market-neutral strategy for basket trading," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 112-124.
    47. Canepa, Alessandra, 2020. "Bootstrap Bartlett Adjustment for Hypotheses Testing on Cointegrating Vectors," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202006, University of Turin.
    48. Li, Muyi & Zhang, Yanfen, 2022. "Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors," Computational Statistics & Data Analysis, Elsevier, vol. 165(C).
    49. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
    50. Breitung, Jörg & Demetrescu, Matei, 2015. "Instrumental variable and variable addition based inference in predictive regressions," Journal of Econometrics, Elsevier, vol. 187(1), pages 358-375.
    51. Liu, Yang & Luan, Lin & Wu, Weilong & Zhang, Zhiqiang & Hsu, Yen, 2021. "Can digital financial inclusion promote China's economic growth?," International Review of Financial Analysis, Elsevier, vol. 78(C).
    52. Ke-Li Xu & Jui-Chung Yang, 2015. "Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non-stationary Volatility," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 63-86, March.
    53. Marçal, Emerson Fernandes, 2013. "Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment," Textos para discussão 348, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    54. Christopher Krauss & Klaus Herrmann, 2017. "On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts," JRFM, MDPI, vol. 10(1), pages 1-24, February.
    55. Emerson Fernandes Marçal & Fernando Barbi, 2010. "“Quo Vadis Real? Estimating the Brazilian Real Exchange Rate Misalignment in Vector Error Correction Model with Structural Change”," Working Papers 10-2010, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto.
    56. Xu, Ke-Li, 2016. "Multivariate trend function testing with mixed stationary and integrated disturbances," Journal of Multivariate Analysis, Elsevier, vol. 147(C), pages 38-57.
    57. Marçal, Emerson Fernandes & Pereira, Pedro L. Valls, 2012. "Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break," Textos para discussão 314, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    58. Swensen, Anders Rygh, 2011. "A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables," Journal of Econometrics, Elsevier, vol. 165(2), pages 152-162.
    59. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2009. "Co-integration rank tests under conditional heteroskedasticity," Discussion Papers 09/02, University of Nottingham, Granger Centre for Time Series Econometrics.

  32. Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "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.

    Cited by:

    1. Pierre Perron & Yohei Yamamoto, 2022. "Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 389-411, May.
    2. 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.
    3. Halunga, Andreea G. & Osborn, Denise R. & Sensier, Marianne, 2009. "Changes in the order of integration of US and UK inflation," Economics Letters, Elsevier, vol. 102(1), pages 30-32, January.
    4. Heinen, Florian & Sibbertsen, Philipp & Kruse, Robinson, 2009. "Forecasting long memory time series under a break in persistence," Hannover Economic Papers (HEP) dp-433, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    5. Gabriel Zsurkis & JoÃo Nicolau & Paulo M. M. Rodrigues, 2021. "A Re‐Examination of Inflation Persistence Dynamics in OECD Countries: A New Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 935-959, August.
    6. Zaklan, Aleksandar & Abrell, Jan & Neumann, Anne, 2016. "Stationarity changes in long-run energy commodity prices," Energy Economics, Elsevier, vol. 59(C), pages 96-103.
    7. Mohitosh Kejriwal, 2017. "A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence," Purdue University Economics Working Papers 1303, Purdue University, Department of Economics.
    8. Petrenko, Victoria (Петренко, ВИктория) & Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Maria (Турунцева, Мария), 2016. "Testing of Changes in Persistence and Their Effect on the Forecasting Quality [Тестирование Изменения Инерционности И Влияние На Качество Прогнозов]," Working Papers 542, Russian Presidential Academy of National Economy and Public Administration.
    9. Chen, Zhanshou & Jin, Zi & Tian, Zheng & Qi, Peiyan, 2012. "Bootstrap testing multiple changes in persistence for a heavy-tailed sequence," Computational Statistics & Data Analysis, Elsevier, vol. 56(7), pages 2303-2316.
    10. Górecki, Tomasz & Horváth, Lajos & Kokoszka, Piotr, 2018. "Change point detection in heteroscedastic time series," Econometrics and Statistics, Elsevier, vol. 7(C), pages 63-88.
    11. Uwe Hassler & Jan Scheithauer, 2008. "On Critical Values of Tests against a Change in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 705-710, October.
    12. Lajos Horváth & William Pouliot & Shixuan Wang, 2017. "Detecting at-Most-m Changes in Linear Regression Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 552-590, July.
    13. Andreea Halunga & Chris D. Orme & Takashi Yamagata, 2011. "A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models," Economics Discussion Paper Series 1118, Economics, The University of Manchester.
    14. Ventosa-Santaulária, Daniel & Gómez-Zaldívar, Manuel, 2009. "Broken mean stationarity and the validity of the Dickey-Fuller test: the case of controlled inflation," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
    15. Aleksandar Zaklan & Jan Abrell & Anne Neumann, 2011. "Stationarity Changes in Long-Run Fossil Resource Prices: Evidence from Persistence Break Testing," Discussion Papers of DIW Berlin 1152, DIW Berlin, German Institute for Economic Research.
    16. Chen, Zhanshou & Tian, Zheng & Wei, Yuesong, 2010. "Monitoring change in persistence in linear time series," Statistics & Probability Letters, Elsevier, vol. 80(19-20), pages 1520-1527, October.
    17. Heinen, Florian & Willert, Juliane, 2011. "Monitoring a change in persistence of a long range dependent time series," Hannover Economic Papers (HEP) dp-479, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

  33. Attilio Gardini & Giuseppe Cavaliere & Luca Fanelli, 2006. "Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna.

    Cited by:

    1. Cavaliere, Giuseppe & Fanelli, Luca & Gardini, Attilio, 2006. "Regional consumption dynamics and risk sharing in Italy," International Review of Economics & Finance, Elsevier, vol. 15(4), pages 525-542.
    2. Pierfederico Asdrubali & Simone Tedeschi & Luigi Ventura, 2020. "Household risk‐sharing channels," Quantitative Economics, Econometric Society, vol. 11(3), pages 1109-1142, July.

  34. Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini, 2006. "International dynamic risk sharing," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.

    Cited by:

    1. Pilar Poncela & Filippo Pericoli & Anna Manca & Filippo Michela Nardo, 2016. "Risk Sharing in Europe," JRC Research Reports JRC104621, Joint Research Centre.
    2. Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini, 2006. "International dynamic risk sharing," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.
    3. Asdrubali, Pierfederico & Kim, Soyoung & Pericoli, Filippo & Poncela, Pilar, 2018. "New Risk Sharing Channels in OECD Countries: a Heterogeneous Panel VAR," Working Papers 2018-13, Joint Research Centre, European Commission.
    4. Fanelli, Luca & Cavaliere, Giuseppe & Gardini, Attilio, 2004. "Consumption risk sharing and adjustment costs," MPRA Paper 1641, University Library of Munich, Germany, revised Nov 2006.
    5. Carlo Fezzi & Valeria Fanghella, 2020. "Real-time estimation of the short-run impact of COVID-19 on economic activity using electricity market data," Papers 2007.03477, arXiv.org.
    6. Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.
    7. Franchi, Massimo & Paruolo, Paolo, 2011. "A characterization of vector autoregressive processes with common cyclical features," Journal of Econometrics, Elsevier, vol. 163(1), pages 105-117, July.
    8. Carlo Fezzi & Valeria Fanghella, 2020. "Real-time estimation of the short-run impact of COVID-19 on economic activity using electricity market data," DEM Working Papers 2020/8, Department of Economics and Management.
    9. Asdrubali, Pierfederico & Kim, Soyoung & Pericoli, Filippo Maria & Poncela, Pilar, 2023. "Risk sharing channels in OECD countries: A heterogeneous panel VAR approach," Journal of International Money and Finance, Elsevier, vol. 131(C).
    10. Carlo Fezzi & Valeria Fanghella, 2020. "Real-Time Estimation of the Short-Run Impact of COVID-19 on Economic Activity Using Electricity Market Data," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 76(4), pages 885-900, August.

  35. Giuseppe Cavaliere & Iliyan Georgiev, 2006. "Testing for unit roots in autoregressions with multiple level shifts," Quaderni di Dipartimento 2, Department of Statistics, University of Bologna.

    Cited by:

    1. Georgiev, Iliyan, 2010. "Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables," Journal of Econometrics, Elsevier, vol. 158(1), pages 37-50, September.
    2. Harris, David & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2009. "Testing For A Unit Root In The Presence Of A Possible Break In Trend," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1545-1588, December.
    3. Herwartz, Helmut & Siedenburg, Florian, 2009. "The effects of variance breaks on homogenous panel unit root tests," Economics Working Papers 2009-07, Christian-Albrechts-University of Kiel, Department of Economics.
    4. Herwartz, H. & Siedenburg, F., 2008. "Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 53(1), pages 137-150, September.
    5. Helmut Herwartz & Florian Siedenburg, 2013. "To converge or not converge: unit labor cost inflation in the Euro area," Empirical Economics, Springer, vol. 44(2), pages 455-467, April.
    6. Jorge Barrientos Marin & Elkin Tabares Orozco & Esteban Velilla, 2018. "Forecasting electricity price in Colombia: A comparison between Neural Network, ARMA process and Hybrid Models," International Journal of Energy Economics and Policy, Econjournals, vol. 8(3), pages 97-106.
    7. Eroğlu, Burak Alparslan & Yiğit, Taner, 2016. "A nonparametric unit root test under nonstationary volatility," Economics Letters, Elsevier, vol. 140(C), pages 6-10.
    8. Terence Mills, 2013. "Breaks and unit roots in global and hemispheric temperatures: an updated analysis," Climatic Change, Springer, vol. 118(3), pages 745-755, June.
    9. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    10. Ke-Li Xu & Jui-Chung Yang, 2015. "Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non-stationary Volatility," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 63-86, March.

  36. Giuseppe Cavaliere & A M Robert Taylor, 2005. "Testing the Null of Co-integration in the Presence of Variance Breaks," Discussion Papers 05-10, Department of Economics, University of Birmingham.

    Cited by:

    1. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
    2. Kourogenis, Nikolaos & Pittis, Nikitas, 2008. "Cointegration, variance shifts and the limiting distribution of the OLS estimator," Economics Letters, Elsevier, vol. 99(1), pages 103-106, April.

  37. Fanelli, Luca & Cavaliere, Giuseppe & Gardini, Attilio, 2004. "Consumption risk sharing and adjustment costs," MPRA Paper 1641, University Library of Munich, Germany, revised Nov 2006.

    Cited by:

    1. Attilio Gardini & Giuseppe Cavaliere & Luca Fanelli, 2006. "Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna.
    2. Cavaliere, Giuseppe & Fanelli, Luca & Gardini, Attilio, 2006. "Regional consumption dynamics and risk sharing in Italy," International Review of Economics & Finance, Elsevier, vol. 15(4), pages 525-542.

  38. Giuseppe Cavaliere, 2003. "Unit root tests under time-varying variances," Quaderni di Dipartimento 2, Department of Statistics, University of Bologna.

    Cited by:

    1. Daiki Maki, 2015. "Wild bootstrap tests for unit root in ESTAR models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(3), pages 475-490, September.
    2. Lisi, Francesco & Pelagatti, Matteo M., 2018. "Component estimation for electricity market data: Deterministic or stochastic?," Energy Economics, Elsevier, vol. 74(C), pages 13-37.
    3. Simões, Oscar R. & Marçal, Emerson Fernandes, 2012. "Agregação temporal e não-linearidade afetam os testes da paridade do poder de compra: Evidência a partir de dados brasileiros," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(3), October.
    4. Koo, Bonsoo & Linton, Oliver, 2010. "Semiparametric estimation of locally stationary diffusion models," LSE Research Online Documents on Economics 58186, London School of Economics and Political Science, LSE Library.
    5. Herwartz, Helmut & Maxand, Simone & Walle, Yabibal M., 2017. "Heteroskedasticity-robust unit root testing for trending panels," University of Göttingen Working Papers in Economics 314, University of Goettingen, Department of Economics.
    6. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
    7. Cheng, Xu & Phillips, Peter C.B., 2012. "Cointegrating rank selection in models with time-varying variance," Journal of Econometrics, Elsevier, vol. 169(2), pages 155-165.
    8. 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.
    9. Sven Otto, 2020. "Unit Root Testing with Slowly Varying Trends," Papers 2003.04066, arXiv.org, revised Aug 2020.
    10. Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2009. "Testing for unit roots in the presence of a possible break in trend and non-stationary volatility," Discussion Papers 09/05, University of Nottingham, Granger Centre for Time Series Econometrics.
    11. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2014. "Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity," Economic Modelling, Elsevier, vol. 36(C), pages 161-171.
    12. 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.
    13. Matei Demetrescu & Christoph Hanck, 2011. "Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 256-264, October.
    14. Xu Cheng & Peter C.B. Phillips, 2008. "Semiparametric Cointegrating Rank Selection," Cowles Foundation Discussion Papers 1658, Cowles Foundation for Research in Economics, Yale University.
    15. Sven Otto, 2021. "Unit root testing with slowly varying trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 85-106, January.
    16. Rossi, Barbara & Sekhposyan, Tatevik, 2016. "Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts," CEPR Discussion Papers 11391, C.E.P.R. Discussion Papers.
    17. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
    18. Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020. "Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series," Boston University - Department of Economics - Working Papers Series WP2020-009, Boston University - Department of Economics.
    19. Smeekes, S. & Urbain, J.R.Y.J., 2014. "A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing," Research Memorandum 008, Maastricht University, Graduate School of Business and Economics (GSBE).
    20. Nikolaos Kourogenis, 2015. "Polynomial Trends, Nonstationary Volatility and the Eicker-White Asymptotic Variance Estimator," Economics Bulletin, AccessEcon, vol. 35(3), pages 1675-1680.
    21. 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.
    22. Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, vol. 173(1), pages 126-142.
    23. Helmut Herwartz & Yabibal M. Walle, 2018. "A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility," Computational Statistics, Springer, vol. 33(1), pages 379-411, March.
    24. Lui, Yiu Lim & Phillips, Peter C.B. & Yu, Jun, 2022. "Robust Testing for Explosive Behavior with Strongly Dependent Errors," Economics and Statistics Working Papers 11-2022, Singapore Management University, School of Economics.
    25. Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson, 2015. "Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112916, Verein für Socialpolitik / German Economic Association.
    26. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
    27. Yeonwoo Rho & Xiaofeng Shao, 2015. "Inference for Time Series Regression Models With Weakly Dependent and Heteroscedastic Errors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 444-457, July.
    28. Matei Demetrescu, 2010. "On the Dickey–Fuller test with White standard errors," Statistical Papers, Springer, vol. 51(1), pages 11-25, January.
    29. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford.
    30. Michal Pešta & Martin Wendler, 2020. "Nuisance-parameter-free changepoint detection in non-stationary series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(2), pages 379-408, June.
    31. Paulo M.M. Rodrigues & Matei Demetrescu, 2016. "Residual-augmented IVX predictive regression," Working Papers w201605, Banco de Portugal, Economics and Research Department.
    32. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 140(2), pages 919-947, October.
    33. Kourogenis, Nikolaos & Pittis, Nikitas, 2008. "Cointegration, variance shifts and the limiting distribution of the OLS estimator," Economics Letters, Elsevier, vol. 99(1), pages 103-106, April.
    34. Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2016. "Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form," Working Paper 1324, Economics Department, Queen's University.
    35. Herwartz, Helmut & Siedenburg, Florian, 2009. "The effects of variance breaks on homogenous panel unit root tests," Economics Working Papers 2009-07, Christian-Albrechts-University of Kiel, Department of Economics.
    36. Matei Demetrescu & Christoph Hanck, 2016. "Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 751-781, May.
    37. Boswijk, H. P. & Zu, Y., 2013. "Testing for Cointegration with Nonstationary Volatility," Working Papers 13/08, Department of Economics, City University London.
    38. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.
    39. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2005. "Stationarity Tests Under Time-Varying Second Moments," Econometric Theory, Cambridge University Press, vol. 21(6), pages 1112-1129, December.
    40. Matei Demetrescu & Christoph Hanck & Robinson Kruse, 2016. "Fixed-b Inference in the Presence of Time-Varying Volatility," CREATES Research Papers 2016-01, Department of Economics and Business Economics, Aarhus University.
    41. Helmut Herwartz & Florian Siedenburg, 2013. "To converge or not converge: unit labor cost inflation in the Euro area," Empirical Economics, Springer, vol. 44(2), pages 455-467, April.
    42. Matei Demetrescu & Christoph Hanck, 2013. "Nonlinear IV panel unit root testing under structural breaks in the error variance," Statistical Papers, Springer, vol. 54(4), pages 1043-1066, November.
    43. Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad, 2009. "Impact of Model Specification Decisions on Unit Root Tests," MPRA Paper 19963, University Library of Munich, Germany.
    44. Skrobotov Anton & Cavaliere Giuseppe & Taylor Robert, 2016. "Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility," Working Papers wpaper-2016-269, Gaidar Institute for Economic Policy, revised 2016.
    45. 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.
    46. Eroğlu, Burak Alparslan & Yiğit, Taner, 2016. "A nonparametric unit root test under nonstationary volatility," Economics Letters, Elsevier, vol. 140(C), pages 6-10.
    47. Ismail Shah & Hasnain Iftikhar & Sajid Ali, 2020. "Modeling and Forecasting Medium-Term Electricity Consumption Using Component Estimation Technique," Forecasting, MDPI, vol. 2(2), pages 1-17, May.
    48. Rodrigues, Paulo M.M. & Rubia, Antonio, 2007. "Testing for causality in variance under nonstationarity in variance," Economics Letters, Elsevier, vol. 97(2), pages 133-137, November.
    49. Demetrescu, Matei & Kruse, Robinson, 2015. "Testing heteroskedastic time series for normality," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113221, Verein für Socialpolitik / German Economic Association.
    50. Breitung, Jörg & Demetrescu, Matei, 2015. "Instrumental variable and variable addition based inference in predictive regressions," Journal of Econometrics, Elsevier, vol. 187(1), pages 358-375.
    51. VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," LIDAM Discussion Papers CORE 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

  39. Giuseppe Cavaliere, 2003. "Limited time series with a unit root," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.

    Cited by:

    1. Bosker, Maarten & Brakman, Steven & Garretsen, Harry & Schramm, Marc, 2008. "A century of shocks: The evolution of the German city size distribution 1925-1999," Regional Science and Urban Economics, Elsevier, vol. 38(4), pages 330-347, July.
    2. Hervé Ott, 2014. "Extent and possible causes of intrayear agricultural commodity price volatility," Agricultural Economics, International Association of Agricultural Economists, vol. 45(2), pages 225-252, March.
    3. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.
    4. Claudiu T Albulescu & Cornel Oros & Aviral K Tiwari, 2017. "Is there any convergence in health expenditures across EU countries?," Economics Bulletin, AccessEcon, vol. 37(3), pages 2095-2101.
    5. Helmut Herwartz & Fang Xu, 2009. "Panel data model comparison for empirical saving-investment relations," Applied Economics Letters, Taylor & Francis Journals, vol. 16(8), pages 803-807.
    6. Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2017. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working Papers 201740, University of Pretoria, Department of Economics.
    7. Claudiu Tiberiu Albulescu, 2022. "Health Care Expenditure in the European Union Countries: New Insights about the Convergence Process," IJERPH, MDPI, vol. 19(4), pages 1-16, February.
    8. Mirza Trokić, 2013. "Regulated fractionally integrated processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 591-601, September.
    9. Josep Lluís Carrion-I-Silvestre & María Dolores Gadea, 2016. "Bounds, Breaks and Unit Root Tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(2), pages 165-181, March.
    10. Federico Podestà, 2023. "Studying the Welfare State by Analysing Time-Series-Cross-Section Data," FBK-IRVAPP Working Papers 2023-03, Research Institute for the Evaluation of Public Policies (IRVAPP), Bruno Kessler Foundation.
    11. Casalin, Fabrizio, 2013. "Testing the expectations hypothesis of the term structure with permanent-transitory component models," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3192-3203.
    12. Josep Lluís Carrion-i-Silvestre & María Dolores Gadea, 2013. "“GLS based unit root tests for bounded processes”," AQR Working Papers 201302, University of Barcelona, Regional Quantitative Analysis Group, revised Apr 2013.
    13. Salvatore Morelli, 2018. "Banking crises in the US: the response of top income shares in a historical perspective," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 16(2), pages 257-294, June.
    14. Giannetti, C., 2008. "Unit Roots and the Dynamics of Market Shares : An Analysis Using Italian Banking Micro-Panel," Discussion Paper 2008-44, Tilburg University, Center for Economic Research.
    15. Carlo V. Fiorio & Simon Mohun & Roberto Veneziani, 2013. "Social Democracy and Distributive Conflict in the UK, 1950-2010," UMASS Amherst Economics Working Papers 2013-06, University of Massachusetts Amherst, Department of Economics.
    16. Josep Lluís Carrion-i-Silvestre & María Dolores Gadea & Antonio Montañés, 2017. "“Unbiased estimation of autoregressive models for bounded stochastic processes”," IREA Working Papers 201719, University of Barcelona, Research Institute of Applied Economics, revised Nov 2017.
    17. Ioannis Litsios & Keith Pilbeam, 2024. "Explaining and correcting trade imbalances between the Northern and Southern Eurozone: An empirical investigation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 1079-1096, January.
    18. Josep Lluís Carrion-i-Silvestre & María Dolores Gadea, 2021. "“Detecting multiple level shifts in bounded time series”," AQR Working Papers 202106, University of Barcelona, Regional Quantitative Analysis Group, revised Jul 2021.
    19. Ferris, J. Stephen & Park, Soo-Bin & Winer, Stanley L., 2008. "Studying the role of political competition in the evolution of government size over long horizons," POLIS Working Papers 111, Institute of Public Policy and Public Choice - POLIS.
    20. Nedumparambil, Elizabeth & Bhandari, Anup Kumar, 2020. "Credit risk – Return puzzle: Evidence from India," Economic Modelling, Elsevier, vol. 92(C), pages 195-206.
    21. Pejman Bahramian & Andisheh Saliminezhad, 2021. "Does Capacity Utilization Predict Inflation? A Wavelet Based Evidence from United States," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1103-1125, December.
    22. Lealand Morin & Ying Shang, 2021. "Federal Reserve policy after the zero lower bound: an indirect inference approach," Empirical Economics, Springer, vol. 60(4), pages 2105-2124, April.
    23. Helmut Herwartz & Malte Rengel & Fang Xu, 2016. "Local Trends in Price‐to‐Dividend Ratios—Assessment, Predictive Value, and Determinants," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(8), pages 1655-1690, December.
    24. Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2018. "Networks in risk spillovers: A multivariate GARCH perspective," SAFE Working Paper Series 225, Leibniz Institute for Financial Research SAFE.
    25. Albanese, Marina & Bonasia, Mariangela & Napolitano, Oreste & Spagnolo, Nicola, 2015. "Happiness, taxes and social provision: A note," Economics Letters, Elsevier, vol. 135(C), pages 100-103.
    26. James E. Payne & James W. Saunoris & Saban Nazlioglu & Cagin Karul, 2023. "Stochastic convergence analysis of US state economic freedom sub‐components: Evidence from unit root tests for bounded processes," American Journal of Economics and Sociology, Wiley Blackwell, vol. 82(4), pages 319-348, July.
    27. Davies, Antony, 2009. "Human development and the optimal size of government," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 38(2), pages 326-330, March.
    28. Ravetti, Chiara & Cambini, Carlo, 2021. "Energy Use Beyond GDP: A Dynamic Panel Analysis with Different Development Indicators," Working Papers 10-2021, Copenhagen Business School, Department of Economics.
    29. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.
    30. James E. Payne & James W. Saunoris & Saban Nazlioglu & Cagin Karul, 2023. "The convergence dynamics of economic freedom across U.S. states," Southern Economic Journal, John Wiley & Sons, vol. 89(4), pages 1216-1241, April.
    31. Niklas Potrafke, 2015. "The Evidence on Globalisation," The World Economy, Wiley Blackwell, vol. 38(3), pages 509-552, March.
    32. Dissou, Yazid & Nafie, Yousra, 2021. "On the link between current account and fiscal imbalances in the presence of structural breaks: Empirical evidence from Egypt," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 15-27.
    33. Margherita Gerolimetto & Stefano Magrini, 2020. "Testing for boundary conditions in case of fractionally integrated processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 357-371, June.
    34. Herwartz, Helmut & Xu, Fang, 2006. "Reviewing the sustainability/stationarity of current account imbalances with tests for bounded integration," Economics Working Papers 2006-07, Christian-Albrechts-University of Kiel, Department of Economics.
    35. Alanya-Beltran, Willy, 2022. "Unit roots in lower-bounded series with outliers," Economic Modelling, Elsevier, vol. 115(C).
    36. Nielsen, Heino Bohn, 2009. "Comment on "The long-run determinants of UK wages, 1860-2004"," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 29-34, March.
    37. A B Atkinson & Andrew Leigh, 2010. "The Distribution of Top Incomes in Five Anglo-Saxon Countries over the Twentieth Century," CEPR Discussion Papers 640, Centre for Economic Policy Research, Research School of Economics, Australian National University.
    38. Josep Lluís Carrion‐i‐Silvestre & María Dolores Gadea & Antonio Montañés, 2021. "Nearly Unbiased Estimation of Autoregressive Models for Bounded Near‐Integrated Stochastic Processes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(1), pages 273-297, February.
    39. Brantley Liddle, 2013. "The Energy, Economic Growth, Urbanization Nexus Across Development: Evidence from Heterogeneous Panel Estimates Robust to Cross-Sectional Dependence," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    40. Margherita Gerolimetto & Stefano Magrini, 2017. "On the power of the simulation-based ADF test in bounded time series," Economics Bulletin, AccessEcon, vol. 37(1), pages 539-552.
    41. Ott, Herve, 2012. "Which factors drive which volatility in the grain sector?," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122486, European Association of Agricultural Economists.
    42. Giuseppe Cavaliere, 2005. "Testing mean reversion in target-zone exchange rates," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2335-2347.
    43. Dimitris K. Christopoulos & Miguel A. León‐Ledesma, 2010. "Revisiting The Real Wages–Unemployment Relationship. New Results From Non‐Linear Models," Bulletin of Economic Research, Wiley Blackwell, vol. 62(1), pages 79-96, January.
    44. Granger, Clive W.J., 2010. "Some thoughts on the development of cointegration," Journal of Econometrics, Elsevier, vol. 158(1), pages 3-6, September.

  40. Cavaliere Giuseppe & Fanelli Luca & Paruolo Paolo, 2001. "Determining the number of cointegrating relations under rank constraints," Economics and Quantitative Methods qf0109, Department of Economics, University of Insubria.

    Cited by:

    1. Hans Christian Kongsted & Heino Bohn Nielsen, 2004. "Analysing I(2) Systems by Transformed Vector Autoregressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(3), pages 379-397, July.

  41. Giuseppe Cavaliere, 2000. "A Rescaled Range Statistics Approach to Unit Root Tests," Econometric Society World Congress 2000 Contributed Papers 0318, Econometric Society.

    Cited by:

    1. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.
    2. Giuseppe Cavaliere, 2002. "Bounded integrated processes and unit root tests," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 11(1), pages 41-69, February.

Articles

  1. Angelini, Giovanni & Cavaliere, Giuseppe & Fanelli, Luca, 2024. "An identification and testing strategy for proxy-SVARs with weak proxies," Journal of Econometrics, Elsevier, vol. 238(2).
    See citations under working paper version above.
  2. Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022. "Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models," Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
    See citations under working paper version above.
  3. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A. M. Robert Taylor, 2022. "Adaptive Inference in Heteroscedastic Fractional Time Series Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 50-65, January.
    See citations under working paper version above.
  4. Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021. "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
    See citations under working paper version above.
  5. Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2020. "Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 55-67, January.

    Cited by:

    1. Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2020. "Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1413-1428, December.
    2. Francesco Giancaterini & Alain Hecq, 2020. "Inference in mixed causal and noncausal models with generalized Student's t-distributions," Papers 2012.01888, arXiv.org, revised Nov 2022.
    3. Abhimanyu Gupta & Javier Hidalgo, 2022. "Nonparametric prediction with spatial data," STICERD - Econometrics Paper Series 621, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    4. Marina Friedrich & Sébastien Fries & Michael Pahle & Ottmar Edenhofer, 2020. "Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System," CESifo Working Paper Series 8637, CESifo.
    5. Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.
    6. Xuanling Yang & Dong Li & Ting Zhang, 2024. "A simple stochastic nonlinear AR model with application to bubble," Papers 2401.07038, arXiv.org.
    7. Chen, Cathy Yi-hsuan & Okhrin, Yarema & Wang, Tengyao, 2022. "Monitoring network changes in social media," LSE Research Online Documents on Economics 113742, London School of Economics and Political Science, LSE Library.
    8. Davis, Richard A. & Song, Li, 2020. "Noncausal vector AR processes with application to economic time series," Journal of Econometrics, Elsevier, vol. 216(1), pages 246-267.
    9. Anders Rygh Swensen, 2022. "On causal and non‐causal cointegrated vector autoregressive time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 178-196, March.
    10. Weifeng Jin, 2023. "Quantile Autoregression-based Non-causality Testing," Papers 2301.02937, arXiv.org.
    11. Fries, Sébastien & Zakoian, Jean-Michel, 2017. "Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles," MPRA Paper 81345, University Library of Munich, Germany.

  6. Giuseppe Cavaliere & Iliyan Georgiev, 2020. "Inference Under Random Limit Bootstrap Measures," Econometrica, Econometric Society, vol. 88(6), pages 2547-2574, November.
    See citations under working paper version above.
  7. Giuseppe Cavaliere & Anton Skrobotov & A. M. Robert Taylor, 2019. "Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility," Econometric Reviews, Taylor & Francis Journals, vol. 38(5), pages 509-532, May.
    See citations under working paper version above.
  8. Cavaliere, Giuseppe & De Angelis, Luca & Rahbek, Anders & Robert Taylor, A.M., 2018. "Determining The Cointegration Rank In Heteroskedastic Var Models Of Unknown Order," Econometric Theory, Cambridge University Press, vol. 34(2), pages 349-382, April.
    See citations under working paper version above.
  9. Giuseppe Cavaliere & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "The Fixed Volatility Bootstrap for a Class of Arch(q) Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 920-941, November.

    Cited by:

    1. Lütkepohl, Helmut & Schlaak, Thore, 2019. "Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 41-61.
    2. Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022. "Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models," Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
    3. Alexander Heinemann & Sean Telg, 2018. "A Residual Bootstrap for Conditional Expected Shortfall," Papers 1811.11557, arXiv.org.
    4. Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023. "Bootstrap inference for Hawkes and general point processes," Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
    5. Alexander Heinemann, 2019. "A Bootstrap Test for the Existence of Moments for GARCH Processes," Papers 1902.01808, arXiv.org, revised Jul 2019.
    6. Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2018. "A Residual Bootstrap for Conditional Value-at-Risk," Papers 1808.09125, arXiv.org, revised Aug 2023.
    7. Wang, Xuqin & Li, Muyi, 2023. "Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 184(C).

  10. Christian Brownlees & Giuseppe Cavaliere & Alice Monti, 2018. "Evaluating The Accuracy Of Tail Risk Forecasts For Systemic Risk Measurement," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 1-25, June.

    Cited by:

    1. Alexandra-Maria Chiper, 2023. "Financial Risk Optimisation Methods: A Survey," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 31, pages 155-168, June.
    2. Maarten R.C. Van Oordt, 2023. "Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market‐Based Stress Tests," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(2-3), pages 465-501, March.
    3. Stolbov, Mikhail & Shchepeleva, Maria, 2020. "Systemic risk, economic policy uncertainty and firm bankruptcies: Evidence from multivariate causal inference," Research in International Business and Finance, Elsevier, vol. 52(C).

  11. Giuseppe Cavaliere & Luca De Angelis & Luca Fanelli, 2018. "Co†integration Rank Determination in Partial Systems Using Information Criteria," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(1), pages 65-89, February.

    Cited by:

    1. Takamitsu Kurita & Bent Nielsen, 2019. "Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms," Econometrics, MDPI, vol. 7(4), pages 1-35, October.
    2. Guillermo Carlomagno & Antoni Espasa, 2021. "Discovering Specific Common Trends in a Large Set of Disaggregates: Statistical Procedures, their Properties and an Empirical Application," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 641-662, June.
    3. Takamitsu Kurita & B. Nielsen, 2018. "Partial cointegrated vector autoregressive models with structural breaks in deterministic terms," Economics Papers 2018-W03, Economics Group, Nuffield College, University of Oxford.

  12. Cavaliere, Giuseppe & Georgiev, Iliyan & Taylor, A.M.Robert, 2018. "Unit Root Inference For Non-Stationary Linear Processes Driven By Infinite Variance Innovations," Econometric Theory, Cambridge University Press, vol. 34(2), pages 302-348, April.
    See citations under working paper version above.
  13. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2017. "Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 198(1), pages 165-188.
    See citations under working paper version above.
  14. Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2017. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 513-534, July.
    See citations under working paper version above.
  15. Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders, 2016. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 640-663.
    See citations under working paper version above.
  16. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
    See citations under working paper version above.
  17. Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 269-271, May.

    Cited by:

    1. Germán Aneiros & Paula Raña & Philippe Vieu & Juan Vilar, 2018. "Bootstrap in semi-functional partial linear regression under dependence," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(3), pages 659-679, September.

  18. Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2015. "Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models," Econometrica, Econometric Society, vol. 83, pages 813-831, March.

    Cited by:

    1. Giuseppe Cavaliere & Iliyan Georgiev, 2019. "Inference under random limit bootstrap measures," Papers 1911.12779, arXiv.org, revised Dec 2019.
    2. Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Quaderni di Dipartimento 6, Department of Statistics, University of Bologna.
    3. Giuseppe Cavaliere & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "The Fixed Volatility Bootstrap for a Class of Arch(q) Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 920-941, November.
    4. Pretis, Felix, 2020. "Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions," Journal of Econometrics, Elsevier, vol. 214(1), pages 256-273.
    5. Chiara Casoli & Riccardo (Jack) Lucchetti, 2021. "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," Working Papers 2021.19, Fondazione Eni Enrico Mattei.
    6. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
    7. Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022. "Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models," Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
    8. Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023. "Bootstrap inference for Hawkes and general point processes," Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
    9. Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
    10. Canepa Alessandra, 2022. "Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors," Journal of Time Series Econometrics, De Gruyter, vol. 14(1), pages 51-85, January.
    11. Karsten Reichold & Carsten Jentsch, 2022. "A Bootstrap-Assisted Self-Normalization Approach to Inference in Cointegrating Regressions," Papers 2204.01373, arXiv.org.
    12. Pretis, Felix, 2021. "Exogeneity in climate econometrics," Energy Economics, Elsevier, vol. 96(C).
    13. Christis Katsouris, 2023. "Limit Theory under Network Dependence and Nonstationarity," Papers 2308.01418, arXiv.org, revised Aug 2023.
    14. She, Rui & Ling, Shiqing, 2020. "Inference in heavy-tailed vector error correction models," Journal of Econometrics, Elsevier, vol. 214(2), pages 433-450.

  19. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015. "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, vol. 187(2), pages 557-579.
    See citations under working paper version above.
  20. Neil Kellard & Denise Osborn & Jerry Coakley & Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2015. "Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 603-629, September.

    Cited by:

    1. Rickard Sandberg, 2018. "Unit Root Testing in Multiple Smooth Break Models with Nonlinear Dynamics," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 942-952, November.
    2. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    3. Mustafa Akpinar & Nejat Yumusak, 2016. "Year Ahead Demand Forecast of City Natural Gas Using Seasonal Time Series Methods," Energies, MDPI, vol. 9(9), pages 1-17, September.

  21. Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A. M. Robert Taylor, 2015. "A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(1), pages 106-128, February.
    See citations under working paper version above.
  22. Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2015. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(5), pages 740-759, October.
    See citations under working paper version above.
  23. Giuseppe Cavaliere & Peter C. B. Phillips & Stephan Smeekes & A. M. Robert Taylor, 2015. "Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 34(4), pages 512-536, April.
    See citations under working paper version above.
  24. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2014. "Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 606-650, August.
    See citations under working paper version above.
  25. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.

    Cited by:

    1. Dayong Zhang & Marco R. Barassi & Jijun Tan, 2015. "Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1118-1140, December.
    2. Chletsos Michael & Roupakias Stelios, 2020. "The effect of military spending on income inequality: evidence from NATO countries," Empirical Economics, Springer, vol. 58(3), pages 1305-1337, March.
    3. Claudiu T Albulescu & Cornel Oros & Aviral K Tiwari, 2017. "Is there any convergence in health expenditures across EU countries?," Economics Bulletin, AccessEcon, vol. 37(3), pages 2095-2101.
    4. Mathias Klein, 2015. "Inequality and household debt: a panel cointegration analysis," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(2), pages 391-412, May.
    5. Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2017. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working Papers 201740, University of Pretoria, Department of Economics.
    6. Claudiu Tiberiu Albulescu, 2022. "Health Care Expenditure in the European Union Countries: New Insights about the Convergence Process," IJERPH, MDPI, vol. 19(4), pages 1-16, February.
    7. Josep Lluís Carrion-I-Silvestre & María Dolores Gadea, 2016. "Bounds, Breaks and Unit Root Tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(2), pages 165-181, March.
    8. Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu, 2016. "Renewable-to-total electricity consumption ratio: Estimating the permanent or transitory fluctuations based on flexible Fourier stationarity and unit root tests," Renewable and Sustainable Energy Reviews, Elsevier, vol. 57(C), pages 1409-1427.
    9. Melchior, Cristiane & Zanini, Roselaine Ruviaro & Guerra, Renata Rojas & Rockenbach, Dinei A., 2021. "Forecasting Brazilian mortality rates due to occupational accidents using autoregressive moving average approaches," International Journal of Forecasting, Elsevier, vol. 37(2), pages 825-837.
    10. Krenz, Astrid, 2016. "Do political institutions influence international trade? Measurement of institutions and the Long-Run effects," University of Göttingen Working Papers in Economics 276, University of Goettingen, Department of Economics.
    11. Dimitrios Bakas & Theodore Panagiotidis & Gianluigi Pelloni, 2017. "Regional And Sectoral Evidence Of The Macroeconomic Effects Of Labor Reallocation: A Panel Data Analysis," Economic Inquiry, Western Economic Association International, vol. 55(1), pages 501-526, January.
    12. Niklas Potrafke & Markus Reischmann, 2012. "Fiscal Equalization Schemes and Fiscal Sustainability," ifo Working Paper Series 141, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    13. Casalin, Fabrizio, 2013. "Testing the expectations hypothesis of the term structure with permanent-transitory component models," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3192-3203.
    14. Josep Lluís Carrion-i-Silvestre & María Dolores Gadea, 2013. "“GLS based unit root tests for bounded processes”," AQR Working Papers 201302, University of Barcelona, Regional Quantitative Analysis Group, revised Apr 2013.
    15. Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.
    16. Salvatore Morelli, 2018. "Banking crises in the US: the response of top income shares in a historical perspective," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 16(2), pages 257-294, June.
    17. Josep Lluís Carrion-i-Silvestre & María Dolores Gadea & Antonio Montañés, 2017. "“Unbiased estimation of autoregressive models for bounded stochastic processes”," IREA Working Papers 201719, University of Barcelona, Research Institute of Applied Economics, revised Nov 2017.
    18. Georgios Mavropoulos & Theodore Panagiotidis, 2020. "Why Young Adults Retreat from Marriage? An Easterlin Relative Income Approach," Discussion Paper Series 2020_01, Department of Economics, University of Macedonia, revised Jan 2020.
    19. Ioannis Litsios & Keith Pilbeam, 2024. "Explaining and correcting trade imbalances between the Northern and Southern Eurozone: An empirical investigation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 1079-1096, January.
    20. Rengel, Malte & Herwartz, Helmut & Xu, Fang, 2013. "Persistence in the price-to-dividend ratio and its macroeconomic fundamentals," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79860, Verein für Socialpolitik / German Economic Association.
    21. Josep Lluís Carrion-i-Silvestre & María Dolores Gadea, 2021. "“Detecting multiple level shifts in bounded time series”," AQR Working Papers 202106, University of Barcelona, Regional Quantitative Analysis Group, revised Jul 2021.
    22. Badri Narayan Rath & Vaseem Akram, 2021. "Popularity of Unit Root Tests - A Review," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(4), pages 1-5.
    23. Dimitrios Bakas & Evangelia Papapetrou, 2014. "Unemployment by Gender: Evidence from EU Countries," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(1), pages 103-111, February.
    24. Nedumparambil, Elizabeth & Bhandari, Anup Kumar, 2020. "Credit risk – Return puzzle: Evidence from India," Economic Modelling, Elsevier, vol. 92(C), pages 195-206.
    25. Helmut Herwartz & Fang Xu, 2020. "Low Mortgage Rates and Securitization: A Distinct Perspective on the US Housing Boom," Scandinavian Journal of Economics, Wiley Blackwell, vol. 122(1), pages 164-190, January.
    26. Maia, Gisele de Oliveira & Barreto-Souza, Wagner & Bastos, Fernando de Souza & Ombao, Hernando, 2021. "Semiparametric time series models driven by latent factor," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1463-1479.
    27. Pejman Bahramian & Andisheh Saliminezhad, 2021. "Does Capacity Utilization Predict Inflation? A Wavelet Based Evidence from United States," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1103-1125, December.
    28. Anna Bykhovskaya & James A. Duffy, 2022. "The Local to Unity Dynamic Tobit Model," Papers 2210.02599, arXiv.org, revised Feb 2023.
    29. Lealand Morin & Ying Shang, 2021. "Federal Reserve policy after the zero lower bound: an indirect inference approach," Empirical Economics, Springer, vol. 60(4), pages 2105-2124, April.
    30. Helmut Herwartz & Malte Rengel & Fang Xu, 2016. "Local Trends in Price‐to‐Dividend Ratios—Assessment, Predictive Value, and Determinants," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(8), pages 1655-1690, December.
    31. Janus, Thorsten, 2023. "Short and long run democracy diffusion," European Journal of Political Economy, Elsevier, vol. 78(C).
    32. Badri Narayan Rath & Vaseem Akram, 2022. "Popularity of Unit Root Tests - A Review," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(4), pages 1-5.
    33. Niklas Potrafke & Markus Reischmann, 2015. "Fiscal Transfers and Fiscal Sustainability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(5), pages 975-1005, August.
    34. Albanese, Marina & Bonasia, Mariangela & Napolitano, Oreste & Spagnolo, Nicola, 2015. "Happiness, taxes and social provision: A note," Economics Letters, Elsevier, vol. 135(C), pages 100-103.
    35. James E. Payne & James W. Saunoris & Saban Nazlioglu & Cagin Karul, 2023. "Stochastic convergence analysis of US state economic freedom sub‐components: Evidence from unit root tests for bounded processes," American Journal of Economics and Sociology, Wiley Blackwell, vol. 82(4), pages 319-348, July.
    36. Ravetti, Chiara & Cambini, Carlo, 2021. "Energy Use Beyond GDP: A Dynamic Panel Analysis with Different Development Indicators," Working Papers 10-2021, Copenhagen Business School, Department of Economics.
    37. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.
    38. James E. Payne & James W. Saunoris & Saban Nazlioglu & Cagin Karul, 2023. "The convergence dynamics of economic freedom across U.S. states," Southern Economic Journal, John Wiley & Sons, vol. 89(4), pages 1216-1241, April.
    39. Bakas, Dimitrios & Papapetrou, Evangelia, 2014. "Unemployment in Greece: Evidence from Greek regions using panel unit root tests," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 551-562.
    40. Niklas Potrafke, 2015. "The Evidence on Globalisation," The World Economy, Wiley Blackwell, vol. 38(3), pages 509-552, March.
    41. Dissou, Yazid & Nafie, Yousra, 2021. "On the link between current account and fiscal imbalances in the presence of structural breaks: Empirical evidence from Egypt," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 15-27.
    42. Santiago J. Gahn, 2020. "Is there a decreasing trend in capacity utilisation in the US economy? Some new evidence," Working Papers PKWP2006, Post Keynesian Economics Society (PKES).
    43. Margherita Gerolimetto & Stefano Magrini, 2020. "Testing for boundary conditions in case of fractionally integrated processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 357-371, June.
    44. Steven Salaga & Rodney Fort, 2017. "Structural Change in Competitive Balance in Big-Time College Football," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 50(1), pages 27-41, February.
    45. Markus Reischmann, 2016. "Empirical Studies on Public Debt and Fiscal Transfers," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 63.
    46. Maurizio Bovi, 2014. "Shocks and the Expectations Formation Process. A Tale of Two Expectations," Natural Field Experiments 00390, The Field Experiments Website.
    47. Alanya-Beltran, Willy, 2022. "Unit roots in lower-bounded series with outliers," Economic Modelling, Elsevier, vol. 115(C).
    48. Yousef Makhlouf, 2018. "Trends in income inequality," NBS Discussion Papers in Economics 2018/01, Economics, Nottingham Business School, Nottingham Trent University.
    49. Yousef Makhlouf, 2023. "Trends in Income Inequality: Evidence from Developing and Developed Countries," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 165(1), pages 213-243, January.
    50. Margherita Gerolimetto & Stefano Magrini, 2017. "On the power of the simulation-based ADF test in bounded time series," Economics Bulletin, AccessEcon, vol. 37(1), pages 539-552.
    51. Ott, Herve, 2012. "Which factors drive which volatility in the grain sector?," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122486, European Association of Agricultural Economists.
    52. Maurizio Bovi, 2016. "The tale of two expectations," Quality & Quantity: International Journal of Methodology, Springer, vol. 50(6), pages 2677-2705, November.
    53. Ignat Ignatov, 2023. "Convergence Determinants and Club Formation in the EU over 1999-2021," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 37-63.
    54. Bontempi, Maria Elena & Bottazzi, Laura & Golinelli, Roberto, 2020. "A multilevel index of heterogeneous short-term and long-term debt dynamics," Journal of Corporate Finance, Elsevier, vol. 64(C).

  26. Giuseppe Cavaliere & Iliyan Georgiev & A. M. Robert Taylor, 2013. "Wild Bootstrap of the Sample Mean in the Infinite Variance Case," Econometric Reviews, Taylor & Francis Journals, vol. 32(2), pages 204-219, February.

    Cited by:

    1. Giuseppe Cavaliere & Iliyan Georgiev, 2019. "Inference under random limit bootstrap measures," Papers 1911.12779, arXiv.org, revised Dec 2019.
    2. Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2017. "A Justification of Conditional Confidence Intervals," Papers 1710.00643, arXiv.org, revised Jan 2019.
    3. Dewitte, Ruben, 2020. "From Heavy-Tailed Micro to Macro: on the characterization of firm-level heterogeneity and its aggregation properties," MPRA Paper 103170, University Library of Munich, Germany.

  27. Cavaliere, Giuseppe & Georgiev, Iliyan, 2013. "Exploiting Infinite Variance Through Dummy Variables In Nonstationary Autoregressions," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1162-1195, December.
    See citations under working paper version above.
  28. Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2013. "Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion," Econometric Reviews, Taylor & Francis Journals, vol. 32(7), pages 814-847, October.
    See citations under working paper version above.
  29. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2012. "Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models," Econometrica, Econometric Society, vol. 80(4), pages 1721-1740, July.

    Cited by:

    1. Liang, Chong & Schienle, Melanie, 2019. "Determination of vector error correction models in high dimensions," Working Paper Series in Economics 124, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    2. Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Quaderni di Dipartimento 6, Department of Statistics, University of Bologna.
    3. Luca Benati & Thomas A. Lubik, 2022. "Searching for Hysteresis," Working Paper 22-05, Federal Reserve Bank of Richmond.
    4. Martin Enilov & Yuan Wang, 2022. "Tourism and economic growth: Multi-country evidence from mixed-frequency Granger causality tests," Tourism Economics, , vol. 28(5), pages 1216-1239, August.
    5. Pretis, Felix, 2020. "Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions," Journal of Econometrics, Elsevier, vol. 214(1), pages 256-273.
    6. Alfredo Villca & Alejandro Torres & Carlos Esteban Posada & Hermilson Velásquez, 2020. "Demanda de dinero en América Latina, 1996-2016: una aplicación de cointegración en datos de panel," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, vol. 85(6), June.
    7. Jesús Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2022. "Multivariate Cointegration and Temporal Aggregation: Some Further Simulation Results," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 59-70, January.
    8. Chiara Casoli & Riccardo (Jack) Lucchetti, 2021. "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," Working Papers 2021.19, Fondazione Eni Enrico Mattei.
    9. Eroğlu, Burak Alparslan, 2019. "Wavelet variance ratio cointegration test and wavestrapping," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 298-319.
    10. Luca Benati, 2015. "The Long-Run Phillips Curve: A Structural VAR Investigation," 2015 Meeting Papers 929, Society for Economic Dynamics.
    11. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
    12. Luca Benati & Robert Lucas, Jr. & Juan Nicolini & Warren Weber, 2016. "International Evidence on Long Run Money Demand," Working Papers id:11152, eSocialSciences.
    13. Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022. "Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models," Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
    14. Luca Benati, 2017. "Cointegration Tests and the Classical Dichotomy," Diskussionsschriften dp1704, Universitaet Bern, Departement Volkswirtschaft.
    15. Burak Eroglu, 2017. "Wavelet Variance Ratio Test And Wavestrapping For The Determination Of The Cointegration Rank," Working Papers 1706, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
    16. Luca Benati & Robert E. Lucas & Juan Pablo Nicolini & Warren E. Weber, 2019. "Online Appendix for: International Evidence on Long-Run Money Demand," Staff Report 588, Federal Reserve Bank of Minneapolis.
    17. Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.
    18. Luca Benati, 2017. "Money Velocity and the Natural Rate of Interest," Diskussionsschriften dp1706, Universitaet Bern, Departement Volkswirtschaft.
    19. Luca Benati, 2018. "Cagan s Paradox Revisited," Diskussionsschriften dp1826, Universitaet Bern, Departement Volkswirtschaft.
    20. Hildegart Ahumada & Magdalena Cornejo, 2020. "The effect of Amazon deforestation on global climate variables," Asociación Argentina de Economía Política: Working Papers 4332, Asociación Argentina de Economía Política.
    21. Sophie Altermatt, 2018. "The Long-Run Demand for M2 Reconsidered," Diskussionsschriften dp1824, Universitaet Bern, Departement Volkswirtschaft.
    22. Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023. "Bootstrap inference for Hawkes and general point processes," Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
    23. Schreiber, Sven, 2018. "Are bootstrapped cointegration test findings unreliable?," Discussion Papers 2018/8, Free University Berlin, School of Business & Economics.
    24. Takamitsu Kurita & Bent Nielsen, 2019. "Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms," Econometrics, MDPI, vol. 7(4), pages 1-35, October.
    25. Niklas Ahlgren & Jan Antell, 2013. "The power of bootstrap tests of cointegration rank," Computational Statistics, Springer, vol. 28(6), pages 2719-2748, December.
    26. Eric Ghysels & J. Isaac Miller, 2013. "Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series," Working Papers 1307, Department of Economics, University of Missouri, revised 07 May 2014.
    27. Luca Benati, 2022. "A New Approach to Estimating the Natural Rate of Interest," Diskussionsschriften dp2210, Universitaet Bern, Departement Volkswirtschaft.
    28. Luca Benati & Peter N. Ireland, 2017. "Money-Multiplier Shocks," Boston College Working Papers in Economics 933, Boston College Department of Economics.
    29. Hetland, Simon & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2023. "Dynamic conditional eigenvalue GARCH," Journal of Econometrics, Elsevier, vol. 237(2).
    30. Luca Benati & Juan-Pablo Nicolini, 2021. "The Welfare Costs of Inflation," Diskussionsschriften dp2113, Universitaet Bern, Departement Volkswirtschaft.
    31. Lieb, Lenard & Smeekes, Stephan, 2017. "Inference for Impulse Responses under Model Uncertainty," Research Memorandum 022, Maastricht University, Graduate School of Business and Economics (GSBE).
    32. Bergman, U. Michael & Sørensen, Peter Birch, 2021. "The interaction of actual and fundamental house prices: A general model with an application to Sweden," Journal of Housing Economics, Elsevier, vol. 54(C).
    33. Pretis, Felix, 2021. "Exogeneity in climate econometrics," Energy Economics, Elsevier, vol. 96(C).
    34. Burak Eroglu & Kemal Caglar Gogebakan & Mirza Trokic, 2017. "Fractional Seasonal Variance Ratio Unit Root Tests," Working Papers 1707, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
    35. Anna Bykhovskaya & Vadim Gorin, 2022. "Asymptotics of Cointegration Tests for High-Dimensional VAR($k$)," Papers 2202.07150, arXiv.org, revised Nov 2023.
    36. Guillaume Chevillon, 2013. "Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming," Working Papers hal-00914830, HAL.
    37. Götz, T.B. & Hecq, A.W. & Smeekes, S., 2015. "Testing for Granger Causality in Large Mixed-Frequency VARs," Research Memorandum 036, Maastricht University, Graduate School of Business and Economics (GSBE).
    38. Anna Bykhovskaya & Vadim Gorin, 2020. "Cointegration in large VARs," Papers 2006.14179, arXiv.org, revised Dec 2021.
    39. Sven Schreiber, 2019. "On (bootstrapped) cointegration tests in partial systems," IMK Working Paper 199-2019, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    40. Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2021. "Inference in heavy-tailed non-stationary multivariate time series," Papers 2107.13894, arXiv.org.
    41. Luca Benati, 2017. "Could the Bubble in U.S. House Prices Have Been Detected in Real Time?," Diskussionsschriften dp1705, Universitaet Bern, Departement Volkswirtschaft.
    42. Luca Benati, 2018. "Money and Credit: A Long-Term View," Diskussionsschriften dp1811, Universitaet Bern, Departement Volkswirtschaft.
    43. Andreas Hetland & Simon Hetland, 2017. "Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market," Econometrics, MDPI, vol. 5(3), pages 1-21, September.
    44. Gunnar Bårdsen & Luca Fanelli, 2015. "Frequentist Evaluation of Small DSGE Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 307-322, July.
    45. M. Castellani & L. Fanelli & M. Savioli, 2015. "Government fiscal efforts vs. labour union strikes. Strategic substitutes or complements?," Working Papers wp1013, Dipartimento Scienze Economiche, Universita' di Bologna.
    46. Chevillon, Guillaume, 2012. "Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area," ESSEC Working Papers WP1210, ESSEC Research Center, ESSEC Business School.
    47. David Bernstein & Bent Nielsen, 2014. "Asymptotic theory for cointegration analysis when the cointegration rank is deficient," Economics Papers 2014-W06, Economics Group, Nuffield College, University of Oxford.
    48. Jurgen A. Doornik, 2017. "Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions," Econometrics, MDPI, vol. 5(2), pages 1-20, May.
    49. Anders Rygh Swensen, 2022. "On causal and non‐causal cointegrated vector autoregressive time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 178-196, March.
    50. Beckmann, Joscha & Czudaj, Robert, 2013. "Oil prices and effective dollar exchange rates," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 621-636.
    51. Felix Pretis, 2015. "Econometric Models of Climate Systems: The Equivalence of Two-Component Energy Balance Models and Cointegrated VARs," Economics Series Working Papers 750, University of Oxford, Department of Economics.
    52. Qihui Chen & Zheng Fang, 2018. "Improved Inference on the Rank of a Matrix," Papers 1812.02337, arXiv.org, revised Mar 2019.
    53. Wilms, Ines & Croux, Christophe, 2016. "Forecasting using sparse cointegration," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1256-1267.
    54. Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2020. "Determining the rank of cointegration with infinite variance," Discussion Papers 20/01, University of Nottingham, Granger Centre for Time Series Econometrics.

  30. Cavaliere, Giuseppe & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2011. "Testing For Unit Roots In The Presence Of A Possible Break In Trend And Nonstationary Volatility," Econometric Theory, Cambridge University Press, vol. 27(5), pages 957-991, October.
    See citations under working paper version above.
  31. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 26(6), pages 1719-1760, December.
    See citations under working paper version above.
  32. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
    See citations under working paper version above.
  33. Giuseppe Cavaliere & A. M. Robert Taylor, 2009. "Bootstrap M Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, vol. 28(5), pages 393-421.

    Cited by:

    1. Skrobotov Anton, 2018. "On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root," Working Papers wpaper-2018-302, Gaidar Institute for Economic Policy, revised 2018.
    2. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2014. "Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity," Economic Modelling, Elsevier, vol. 36(C), pages 161-171.
    3. 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.
    4. Smeekes, S. & Urbain, J.R.Y.J., 2014. "A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing," Research Memorandum 008, Maastricht University, Graduate School of Business and Economics (GSBE).
    5. Stephan Smeekes, 2013. "Detrending Bootstrap Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 869-891, November.
    6. Pedersen, Thomas Quistgaard & Schütte, Erik Christian Montes, 2020. "Testing for explosive bubbles in the presence of autocorrelated innovations," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 207-225.
    7. Cavaliere, G. & Phillips, P.C.B. & Smeekes, S. & Taylor, A.M.R., 2011. "Lag length selection for unit root tests in the presence of nonstationary volatility," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    8. Nikolay Gospodinov & Ye Tao, 2009. "Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors," Working Papers 09001, Concordia University, Department of Economics.
    9. Harvey, David I. & Leybourne, Stephen J. & Sollis, Robert & Taylor, A.M. Robert, 2016. "Tests for explosive financial bubbles in the presence of non-stationary volatility," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 548-574.
    10. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.
    11. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    12. Zou, Nan & Politis, Dimitris N., 2019. "Linear process bootstrap unit root test," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 74-80.

  34. Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini, 2009. "Consumption risk sharing and adjustment costs," Economics Bulletin, AccessEcon, vol. 29(2), pages 1117-1126.
    See citations under working paper version above.
  35. Giuseppe Cavaliere & A. M. Robert Taylor, 2009. "A Note on Testing Covariance Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 28(4), pages 364-371.

    Cited by:

    1. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.

  36. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2009. "Heteroskedastic Time Series With A Unit Root," Econometric Theory, Cambridge University Press, vol. 25(5), pages 1228-1276, October.

    Cited by:

    1. Giuseppe Cavaliere & Iliyan Georgiev, 2019. "Inference under random limit bootstrap measures," Papers 1911.12779, arXiv.org, revised Dec 2019.
    2. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.
    3. Skrobotov Anton, 2018. "On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root," Working Papers wpaper-2018-302, Gaidar Institute for Economic Policy, revised 2018.
    4. 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.
    5. 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.
    6. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
    7. Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020. "Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series," Boston University - Department of Economics - Working Papers Series WP2020-009, Boston University - Department of Economics.
    8. Smeekes, S. & Urbain, J.R.Y.J., 2014. "A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing," Research Memorandum 008, Maastricht University, Graduate School of Business and Economics (GSBE).
    9. Nikolaos Kourogenis, 2015. "Polynomial Trends, Nonstationary Volatility and the Eicker-White Asymptotic Variance Estimator," Economics Bulletin, AccessEcon, vol. 35(3), pages 1675-1680.
    10. Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor, 2020. "Adaptive Inference in Heteroskedastic Fractional Time Series Models," CREATES Research Papers 2020-08, Department of Economics and Business Economics, Aarhus University.
    11. Vasilios Plakandaras & Rangan Gupta & Mehmet Balcilar & Qiang Ji, 2021. "Evolving United States Stock Market Volatility: The Role of Conventional and Unconventional Monetary Policies," Working Papers 202113, University of Pretoria, Department of Economics.
    12. Hanck, Christoph & Demetrescu, Matei & Tarcolea, Adina, 2012. "IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62072, Verein für Socialpolitik / German Economic Association.
    13. Francesca Di Iorio & Stefano Fachin, 2019. "Fiscal reaction functions for the advanced economies revisited," DSS Empirical Economics and Econometrics Working Papers Series 2019/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    14. Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021. "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
    15. Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson, 2015. "Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112916, Verein für Socialpolitik / German Economic Association.
    16. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
    17. Czudaj, Robert & Hanck, Christoph, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79734, Verein für Socialpolitik / German Economic Association.
    18. Yubo Tao, 2018. "Limit Theory for Moderate Deviation from Integrated GARCH Processes," Papers 1806.01229, arXiv.org, revised Dec 2018.
    19. Hirukawa, Junichi & Raïssi, Hamdi, 2020. "Testing linear relationships between non-constant variances of economic variables," Economic Modelling, Elsevier, vol. 90(C), pages 182-189.
    20. Vicente Esteve & María A. Prats, 2022. "Testing explosive bubbles with time-varying volatility: The case of the Spanish public debt, 1850?2021," Working Papers 2205, Department of Applied Economics II, Universidad de Valencia.
    21. Cavaliere, G. & Phillips, P.C.B. & Smeekes, S. & Taylor, A.M.R., 2011. "Lag length selection for unit root tests in the presence of nonstationary volatility," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    22. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford.
    23. Guodong Li & Chenlei Leng & Chih-Ling Tsai, 2014. "A Hybrid Bootstrap Approach To Unit Root Tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(4), pages 299-321, July.
    24. Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2016. "Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form," Working Paper 1324, Economics Department, Queen's University.
    25. Yicong Lin & Mingxuan Song, 2023. "Robust bootstrap inference for linear time-varying coefficient models: Some Monte Carlo evidence," Tinbergen Institute Discussion Papers 23-049/III, Tinbergen Institute.
    26. Harvey, David I. & Leybourne, Stephen J. & Sollis, Robert & Taylor, A.M. Robert, 2016. "Tests for explosive financial bubbles in the presence of non-stationary volatility," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 548-574.
    27. Meng, Xiaochun & Taylor, James W., 2022. "Comparing probabilistic forecasts of the daily minimum and maximum temperature," International Journal of Forecasting, Elsevier, vol. 38(1), pages 267-281.
    28. Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2021. "Inference in heavy-tailed non-stationary multivariate time series," Papers 2107.13894, arXiv.org.
    29. Andria C. Evripidou & David I. Harvey & Stephen J. Leybourne & Robert Sollis, 2022. "Testing for Co‐explosive Behaviour in Financial Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 624-650, June.
    30. Kruel, Maximiliano & Ceretta, Paulo Sergio, 2022. "Asymmetric influences on Latin American stock markets: A quantile approach," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    31. Matei Demetrescu & Christoph Hanck & Robinson Kruse, 2016. "Fixed-b Inference in the Presence of Time-Varying Volatility," CREATES Research Papers 2016-01, Department of Economics and Business Economics, Aarhus University.
    32. Wang, Shaoping & Li, Yanglin & Wen, Kuangyu, 2021. "Recursive adjusted unit root tests under non-stationary volatility," Economics Letters, Elsevier, vol. 205(C).
    33. Fried, Roland, 2012. "On the online estimation of local constant volatilities," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3080-3090.
    34. Skrobotov Anton, 2023. "Testing for explosive bubbles: a review," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-26, January.
    35. Anton Skrobotov, 2022. "Testing for explosive bubbles: a review," Papers 2207.08249, arXiv.org.
    36. Esteve, Vicente & Prats, María A., 2023. "Testing explosive bubbles with time-varying volatility: the case of Spanish public debt," LSE Research Online Documents on Economics 116980, London School of Economics and Political Science, LSE Library.
    37. Demetrescu, Matei & Kruse, Robinson, 2015. "Testing heteroskedastic time series for normality," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113221, Verein für Socialpolitik / German Economic Association.
    38. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    39. Joakim Westerlund, 2013. "A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 477-495, July.
    40. Patrick Marsh, "undated". "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.
    41. Esteve, Vicente & Prats, María A., 2023. "Testing explosive bubbles with time-varying volatility: The case of Spanish public debt," Finance Research Letters, Elsevier, vol. 51(C).
    42. Kemal Çag̃lar Gög̃ebakan & Burak Alparslan Eroglu, 2022. "Non-parametric seasonal unit root tests under periodic non-stationary volatility," Computational Statistics, Springer, vol. 37(5), pages 2581-2636, November.

  37. Cavaliere, Giuseppe & Georgiev, Iliyan, 2009. "Robust Inference In Autoregressions With Multiple Outliers," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1625-1661, December.

    Cited by:

    1. Georgiev, Iliyan, 2010. "Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables," Journal of Econometrics, Elsevier, vol. 158(1), pages 37-50, September.
    2. Amélie Charles & Olivier Darné, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Post-Print hal-00956937, HAL.
    3. Cavaliere, Giuseppe & Georgiev, Iliyan, 2013. "Exploiting Infinite Variance Through Dummy Variables In Nonstationary Autoregressions," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1162-1195, December.
    4. Olivier Darné & Amélie Charles, 2012. "A note on the uncertain trend in US real GNP: Evidence from robust unit root tests," Economics Bulletin, AccessEcon, vol. 32(3), pages 2399-2406.
    5. Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2016. "Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 315-336, May.

  38. 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.
    See citations under working paper version above.
  39. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2008. "Bootstrap Unit Root Tests For Time Series With Nonstationary Volatility," Econometric Theory, Cambridge University Press, vol. 24(1), pages 43-71, February.

    Cited by:

    1. Daiki Maki, 2015. "Wild bootstrap tests for unit root in ESTAR models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(3), pages 475-490, September.
    2. Makram El‐Shagi, 2012. "The Distorting Impact of Capital Controls," German Economic Review, Verein für Socialpolitik, vol. 13(1), pages 41-55, February.
    3. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.
    4. Skrobotov Anton, 2018. "On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root," Working Papers wpaper-2018-302, Gaidar Institute for Economic Policy, revised 2018.
    5. Herwartz Helmut & Roestel Jan, 2009. "Monetary Independence under Floating Exchange Rates: Evidence Based on International Breakeven Inflation Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(4), pages 1-25, September.
    6. Shelley, Gary L. & Wallace, Frederick H., 2011. "Further evidence regarding nonlinear trend reversion of real GDP and the CPI," Economics Letters, Elsevier, vol. 112(1), pages 56-59, July.
    7. Ghoshray, Atanu, 2021. "Are coffee farmers worse off in the long run?," 95th Annual Conference, March 29-30, 2021, Warwick, UK (Hybrid) 311084, Agricultural Economics Society - AES.
    8. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
    9. H. Peter Boswijk & Yang Zu, 2022. "Adaptive Testing for Cointegration With Nonstationary Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 744-755, April.
    10. Sven Otto, 2020. "Unit Root Testing with Slowly Varying Trends," Papers 2003.04066, arXiv.org, revised Aug 2020.
    11. Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2009. "Testing for unit roots in the presence of a possible break in trend and non-stationary volatility," Discussion Papers 09/05, University of Nottingham, Granger Centre for Time Series Econometrics.
    12. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2014. "Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity," Economic Modelling, Elsevier, vol. 36(C), pages 161-171.
    13. 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.
    14. Sven Otto, 2021. "Unit root testing with slowly varying trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 85-106, January.
    15. Kline Patrick & Santos Andres, 2012. "A Score Based Approach to Wild Bootstrap Inference," Journal of Econometric Methods, De Gruyter, vol. 1(1), pages 23-41, August.
    16. Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020. "Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series," Boston University - Department of Economics - Working Papers Series WP2020-009, Boston University - Department of Economics.
    17. Neil Kellard & Denise Osborn & Jerry Coakley & Christian Conrad & Menelaos Karanasos, 2015. "On the Transmission of Memory in Garch-in-Mean Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 706-720, September.
    18. Guiseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," CREATES Research Papers 2010-07, Department of Economics and Business Economics, Aarhus University.
    19. Xu, Ke-Li, 2012. "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, vol. 169(2), pages 147-154.
    20. Smeekes, S. & Urbain, J.R.Y.J., 2014. "A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing," Research Memorandum 008, Maastricht University, Graduate School of Business and Economics (GSBE).
    21. Stephan Smeekes, 2013. "Detrending Bootstrap Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 869-891, November.
    22. Nikolaos Kourogenis, 2015. "Polynomial Trends, Nonstationary Volatility and the Eicker-White Asymptotic Variance Estimator," Economics Bulletin, AccessEcon, vol. 35(3), pages 1675-1680.
    23. Choi, Ji-Eun & Shin, Dong Wan, 2019. "Moving block bootstrapping for a CUSUM test for correlation change," Computational Statistics & Data Analysis, Elsevier, vol. 135(C), pages 95-106.
    24. Addison, Tony & Ghoshray, Atanu, 2023. "Discerning trends in international metal prices in the presence of nonstationary volatility," Resource and Energy Economics, Elsevier, vol. 71(C).
    25. Helmut Herwartz & Yabibal M. Walle, 2018. "A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility," Computational Statistics, Springer, vol. 33(1), pages 379-411, March.
    26. Daan Steenkamp, 2017. "How bubbly is the New Zealand dollar?," Reserve Bank of New Zealand Discussion Paper Series DP2017/03, Reserve Bank of New Zealand.
    27. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009. "Co-integration Rank Testing under Conditional Heteroskedasticity," CREATES Research Papers 2009-22, Department of Economics and Business Economics, Aarhus University.
    28. Hamdi Raissi, 2022. "On the dependence structure of the trade/no trade sequence of illiquid assets," Papers 2203.08223, arXiv.org.
    29. Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021. "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
    30. Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip, 2014. "Bubbles in food commodity markets: Four decades of evidence," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 129-155.
    31. Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson, 2015. "Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112916, Verein für Socialpolitik / German Economic Association.
    32. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
    33. Oladosu, Gbadebo, 2022. "Bubbles in US gasoline prices: Assessing the role of hurricanes and anti–price gouging laws," Journal of Commodity Markets, Elsevier, vol. 27(C).
    34. Czudaj, Robert & Hanck, Christoph, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79734, Verein für Socialpolitik / German Economic Association.
    35. Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
    36. Hirukawa, Junichi & Raïssi, Hamdi, 2020. "Testing linear relationships between non-constant variances of economic variables," Economic Modelling, Elsevier, vol. 90(C), pages 182-189.
    37. Vicente Esteve & María A. Prats, 2022. "Testing explosive bubbles with time-varying volatility: The case of the Spanish public debt, 1850?2021," Working Papers 2205, Department of Applied Economics II, Universidad de Valencia.
    38. Cavaliere, G. & Phillips, P.C.B. & Smeekes, S. & Taylor, A.M.R., 2011. "Lag length selection for unit root tests in the presence of nonstationary volatility," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    39. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford.
    40. Boswijk, H. Peter, 2010. "Nuisance parameter free inference on cointegration parameters in the presence of a variance shift," Economics Letters, Elsevier, vol. 107(2), pages 190-193, May.
    41. Harris, David & Kew, Hsein & Taylor, A.M. Robert, 2020. "Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem," Journal of Econometrics, Elsevier, vol. 219(2), pages 354-388.
    42. Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2016. "Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form," Working Paper 1324, Economics Department, Queen's University.
    43. Hartmann, Matthias & Roestel, Jan, 2013. "Inflation, output and uncertainty in the era of inflation targeting – A multi-economy view on causal linkages," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 98-112.
    44. Yicong Lin & Mingxuan Song, 2023. "Robust bootstrap inference for linear time-varying coefficient models: Some Monte Carlo evidence," Tinbergen Institute Discussion Papers 23-049/III, Tinbergen Institute.
    45. Harvey, David I. & Leybourne, Stephen J. & Sollis, Robert & Taylor, A.M. Robert, 2016. "Tests for explosive financial bubbles in the presence of non-stationary volatility," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 548-574.
    46. Herwartz, Helmut & Siedenburg, Florian, 2009. "The effects of variance breaks on homogenous panel unit root tests," Economics Working Papers 2009-07, Christian-Albrechts-University of Kiel, Department of Economics.
    47. Herwartz, H. & Siedenburg, F., 2008. "Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 53(1), pages 137-150, September.
    48. Dong Jin Lee, 2021. "Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable," Bulletin of Economic Research, Wiley Blackwell, vol. 73(2), pages 212-229, April.
    49. Patrick M. Kline & Andres Santos, 2011. "Higher Order Properties of the Wild Bootstrap Under Misspecification," NBER Working Papers 16793, National Bureau of Economic Research, Inc.
    50. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.
    51. Matei Demetrescu & Christoph Hanck & Robinson Kruse, 2016. "Fixed-b Inference in the Presence of Time-Varying Volatility," CREATES Research Papers 2016-01, Department of Economics and Business Economics, Aarhus University.
    52. Helmut Herwartz & Florian Siedenburg, 2013. "To converge or not converge: unit labor cost inflation in the Euro area," Empirical Economics, Springer, vol. 44(2), pages 455-467, April.
    53. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2012. "Are securitised real estate markets efficient?," Economic Modelling, Elsevier, vol. 29(3), pages 684-690.
    54. Wang, Shaoping & Li, Yanglin & Wen, Kuangyu, 2021. "Recursive adjusted unit root tests under non-stationary volatility," Economics Letters, Elsevier, vol. 205(C).
    55. Eiji Kurozumi & Anton Skrobotov & Alexey Tsarev, 2020. "Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility," Papers 2012.13937, arXiv.org, revised Nov 2021.
    56. Matei Demetrescu & Christoph Hanck, 2013. "Nonlinear IV panel unit root testing under structural breaks in the error variance," Statistical Papers, Springer, vol. 54(4), pages 1043-1066, November.
    57. H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2023. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Econometric Reviews, Taylor & Francis Journals, vol. 42(9-10), pages 725-757, November.
    58. Skrobotov Anton & Cavaliere Giuseppe & Taylor Robert, 2016. "Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility," Working Papers wpaper-2016-269, Gaidar Institute for Economic Policy, revised 2016.
    59. Skrobotov Anton, 2023. "Testing for explosive bubbles: a review," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-26, January.
    60. Anton Skrobotov, 2022. "Testing for explosive bubbles: a review," Papers 2207.08249, arXiv.org.
    61. Helmut Herwartz & Jan Roestel, 2011. "Convergence of Real Capital Market Interest Rates—Evidence from Inflation Indexed Bonds," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(7), pages 1523-1541, October.
    62. Yu, Lu & Li, Yanglin, 2023. "Testing factor models when asset bubbles occur: A time-varying perspective," Economic Modelling, Elsevier, vol. 124(C).
    63. Esteve, Vicente & Prats, María A., 2023. "Testing explosive bubbles with time-varying volatility: the case of Spanish public debt," LSE Research Online Documents on Economics 116980, London School of Economics and Political Science, LSE Library.
    64. El-Shagi, Makram, 2011. "Inflation expectations: Does the market beat econometric forecasts?," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 298-319.
    65. Kung-Sik Chan & Simone Giannerini & Greta Goracci & Howell Tong, 2020. "Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis," Papers 2002.09968, arXiv.org, revised Nov 2021.
    66. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    67. Steenkamp, Daan, 2018. "Explosiveness in G11 currencies," Economic Modelling, Elsevier, vol. 68(C), pages 388-408.
    68. Patrick Marsh, "undated". "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.
    69. Esteve, Vicente & Prats, María A., 2023. "Testing explosive bubbles with time-varying volatility: The case of Spanish public debt," Finance Research Letters, Elsevier, vol. 51(C).
    70. Kemal Çag̃lar Gög̃ebakan & Burak Alparslan Eroglu, 2022. "Non-parametric seasonal unit root tests under periodic non-stationary volatility," Computational Statistics, Springer, vol. 37(5), pages 2581-2636, November.
    71. Erhua Zhang & Xiaojun Song & Jilin Wu, 2022. "A non‐parametric test for multi‐variate trend functions," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 856-871, November.
    72. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2009. "Co-integration rank tests under conditional heteroskedasticity," Discussion Papers 09/02, University of Nottingham, Granger Centre for Time Series Econometrics.
    73. Neil Kellard & Denise Osborn & Jerry Coakley & Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2015. "Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 603-629, September.

  40. Giuseppe Cavaliere & A. M. Robert Taylor, 2008. "Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(2), pages 300-330, March.

    Cited by:

    1. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
    2. Sven Otto, 2020. "Unit Root Testing with Slowly Varying Trends," Papers 2003.04066, arXiv.org, revised Aug 2020.
    3. Sven Otto, 2021. "Unit root testing with slowly varying trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 85-106, January.
    4. Christoph Hanck & Till Massing, 2021. "Testing for Nonlinear Cointegration under Heteroskedasticity," Papers 2102.08809, arXiv.org, revised Apr 2024.
    5. Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor, 2020. "Adaptive Inference in Heteroskedastic Fractional Time Series Models," CREATES Research Papers 2020-08, Department of Economics and Business Economics, Aarhus University.
    6. Addison, Tony & Ghoshray, Atanu, 2023. "Discerning trends in international metal prices in the presence of nonstationary volatility," Resource and Energy Economics, Elsevier, vol. 71(C).
    7. Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021. "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
    8. Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson, 2015. "Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112916, Verein für Socialpolitik / German Economic Association.
    9. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
    10. Yeonwoo Rho & Xiaofeng Shao, 2015. "Inference for Time Series Regression Models With Weakly Dependent and Heteroscedastic Errors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 444-457, July.
    11. Czudaj, Robert & Hanck, Christoph, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79734, Verein für Socialpolitik / German Economic Association.
    12. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford.
    13. Demetrescu, Matei & Sibbertsen, Philipp, 2014. "Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility," Hannover Economic Papers (HEP) dp-531, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    14. Harris, David & Kew, Hsein & Taylor, A.M. Robert, 2020. "Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem," Journal of Econometrics, Elsevier, vol. 219(2), pages 354-388.
    15. Harvey, David I. & Leybourne, Stephen J. & Sollis, Robert & Taylor, A.M. Robert, 2016. "Tests for explosive financial bubbles in the presence of non-stationary volatility," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 548-574.
    16. Matei Demetrescu & Christoph Hanck & Robinson Kruse, 2016. "Fixed-b Inference in the Presence of Time-Varying Volatility," CREATES Research Papers 2016-01, Department of Economics and Business Economics, Aarhus University.
    17. Fried, Roland, 2012. "On the online estimation of local constant volatilities," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3080-3090.
    18. Matei Demetrescu & Christoph Hanck, 2013. "Nonlinear IV panel unit root testing under structural breaks in the error variance," Statistical Papers, Springer, vol. 54(4), pages 1043-1066, November.
    19. H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2023. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Econometric Reviews, Taylor & Francis Journals, vol. 42(9-10), pages 725-757, November.
    20. Skrobotov Anton & Cavaliere Giuseppe & Taylor Robert, 2016. "Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility," Working Papers wpaper-2016-269, Gaidar Institute for Economic Policy, revised 2016.
    21. Sam Astill & David I. Harvey & Stephen J. Leybourne & Robert Sollis & A. M. Robert Taylor, 2018. "Real‐Time Monitoring for Explosive Financial Bubbles," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 863-891, November.
    22. Hanck, C.H., 2009. "Nonstationary-volatility robust panel unit root tests and the great moderation," Research Memorandum 009, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    23. Skrobotov Anton, 2023. "Testing for explosive bubbles: a review," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-26, January.
    24. Anton Skrobotov, 2022. "Testing for explosive bubbles: a review," Papers 2207.08249, arXiv.org.
    25. Demetrescu, Matei & Kruse, Robinson, 2015. "Testing heteroskedastic time series for normality," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113221, Verein für Socialpolitik / German Economic Association.
    26. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    27. Esteve, Vicente & Prats, María A., 2023. "Testing explosive bubbles with time-varying volatility: The case of Spanish public debt," Finance Research Letters, Elsevier, vol. 51(C).

  41. Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini, 2008. "International dynamic risk sharing," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 1-16.
    See citations under working paper version above.
  42. Cavaliere, Giuseppe & Georgiev, Iliyan, 2007. "Testing For Unit Roots In Autoregressions With Multiple Level Shifts," Econometric Theory, Cambridge University Press, vol. 23(6), pages 1162-1215, December.
    See citations under working paper version above.
  43. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 140(2), pages 919-947, October.

    Cited by:

    1. Daiki Maki, 2015. "Wild bootstrap tests for unit root in ESTAR models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(3), pages 475-490, September.
    2. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.
    3. Herwartz, Helmut & Maxand, Simone & Walle, Yabibal M., 2017. "Heteroskedasticity-robust unit root testing for trending panels," University of Göttingen Working Papers in Economics 314, University of Goettingen, Department of Economics.
    4. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
    5. Cheng, Xu & Phillips, Peter C.B., 2012. "Cointegrating rank selection in models with time-varying variance," Journal of Econometrics, Elsevier, vol. 169(2), pages 155-165.
    6. H. Peter Boswijk & Yang Zu, 2022. "Adaptive Testing for Cointegration With Nonstationary Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 744-755, April.
    7. 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.
    8. Sven Otto, 2020. "Unit Root Testing with Slowly Varying Trends," Papers 2003.04066, arXiv.org, revised Aug 2020.
    9. Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2009. "Testing for unit roots in the presence of a possible break in trend and non-stationary volatility," Discussion Papers 09/05, University of Nottingham, Granger Centre for Time Series Econometrics.
    10. Martin C. Arnold & Christoph Hanck, 2019. "On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions," JRFM, MDPI, vol. 12(3), pages 1-22, July.
    11. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2014. "Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity," Economic Modelling, Elsevier, vol. 36(C), pages 161-171.
    12. Grote, Claudia & Bertram, Philip, 2015. "A comparative Study of Volatility Breaks," Hannover Economic Papers (HEP) dp-558, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    13. 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.
    14. Matei Demetrescu & Christoph Hanck, 2011. "Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 256-264, October.
    15. Xu Cheng & Peter C.B. Phillips, 2008. "Semiparametric Cointegrating Rank Selection," Cowles Foundation Discussion Papers 1658, Cowles Foundation for Research in Economics, Yale University.
    16. Skrobotov, Anton, 2022. "On robust testing for trend," Economics Letters, Elsevier, vol. 212(C).
    17. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
    18. Sven Otto, 2021. "Unit root testing with slowly varying trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 85-106, January.
    19. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
    20. Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020. "Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series," Boston University - Department of Economics - Working Papers Series WP2020-009, Boston University - Department of Economics.
    21. Neil Kellard & Denise Osborn & Jerry Coakley & Christian Conrad & Menelaos Karanasos, 2015. "On the Transmission of Memory in Garch-in-Mean Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 706-720, September.
    22. Xu, Ke-Li, 2012. "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, vol. 169(2), pages 147-154.
    23. Nikolaos Kourogenis, 2015. "Polynomial Trends, Nonstationary Volatility and the Eicker-White Asymptotic Variance Estimator," Economics Bulletin, AccessEcon, vol. 35(3), pages 1675-1680.
    24. David Harris & Hsein Kew, 2014. "Portmanteau Autocorrelation Tests Under Q-Dependence And Heteroskedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 203-217, May.
    25. Josep Lluís Carrion-i-Silvestre & Dukpa Kim & Pierre Perron, 2007. "GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses," Boston University - Department of Economics - Working Papers Series wp2008-019, Boston University - Department of Economics.
    26. 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.
    27. Jinyuan Chang & Guanghui Cheng & Qiwei Yao, 2022. "Testing for unit roots based on sample autocovariances [Heteroskedasticity and autocorrelation consistent covariance matrix estimation]," Biometrika, Biometrika Trust, vol. 109(2), pages 543-550.
    28. Peter C. B. Phillips & Ke‐Li Xu, 2006. "Inference in Autoregression under Heteroskedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(2), pages 289-308, March.
    29. Addison, Tony & Ghoshray, Atanu, 2023. "Discerning trends in international metal prices in the presence of nonstationary volatility," Resource and Energy Economics, Elsevier, vol. 71(C).
    30. Helmut Herwartz & Yabibal M. Walle, 2018. "A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility," Computational Statistics, Springer, vol. 33(1), pages 379-411, March.
    31. Tatsushi Oka & Pierre Perron, 2018. "Testing for common breaks in a multiple equations system," Monash Econometrics and Business Statistics Working Papers 3/18, Monash University, Department of Econometrics and Business Statistics.
    32. Ai Deng & Pierre Perron, 2006. "The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions," Boston University - Department of Economics - Working Papers Series wp2006-004, Boston University - Department of Economics.
    33. Hamdi Raissi, 2022. "On the dependence structure of the trade/no trade sequence of illiquid assets," Papers 2203.08223, arXiv.org.
    34. Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021. "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
    35. Ye Li & Pierre Perron, 2017. "Inference on locally ordered breaks in multiple regressions," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 289-353, March.
    36. Yang, Yang & Wang, Shaoping, 2017. "Two simple tests of the trend hypothesis under time-varying variance," Economics Letters, Elsevier, vol. 156(C), pages 123-128.
    37. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
    38. Yeonwoo Rho & Xiaofeng Shao, 2015. "Inference for Time Series Regression Models With Weakly Dependent and Heteroscedastic Errors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 444-457, July.
    39. David I. Harvey & Stephen J. Leybourne & Yang Zu, 2019. "Testing explosive bubbles with time-varying volatility," Econometric Reviews, Taylor & Francis Journals, vol. 38(10), pages 1131-1151, November.
    40. Czudaj, Robert & Hanck, Christoph, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79734, Verein für Socialpolitik / German Economic Association.
    41. Yubo Tao, 2018. "Limit Theory for Moderate Deviation from Integrated GARCH Processes," Papers 1806.01229, arXiv.org, revised Dec 2018.
    42. Cavaliere, G. & Phillips, P.C.B. & Smeekes, S. & Taylor, A.M.R., 2011. "Lag length selection for unit root tests in the presence of nonstationary volatility," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    43. Nikolaos Kourogenis & Phoebe Koundouri, 2010. "On the Stationarity of Exhaustible Natural Resource Prices," DEOS Working Papers 1022, Athens University of Economics and Business.
    44. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford.
    45. Mohitosh Kejriwal & Pierre Perron, 2006. "The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes," Boston University - Department of Economics - Working Papers Series WP2006-064, Boston University - Department of Economics.
    46. Li, Yong & Chong, Terence Tai-Leung & Zhang, Jie, 2012. "Testing for a unit root in the presence of stochastic volatility and leverage effect," Economic Modelling, Elsevier, vol. 29(5), pages 2035-2038.
    47. Eiji Kurozumi & Anton Skrobotov, 2023. "Improving the accuracy of bubble date estimators under time-varying volatility," Papers 2306.02977, arXiv.org.
    48. Chandler, Gabriel, 2010. "Order selection for heteroscedastic autoregression: A study on concentration," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1904-1910, December.
    49. Boswijk, H. Peter, 2010. "Nuisance parameter free inference on cointegration parameters in the presence of a variance shift," Economics Letters, Elsevier, vol. 107(2), pages 190-193, May.
    50. Helmut Herwartz & Florian Siedenburg & Yabibal M. Walle, 2016. "Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 727-750, May.
    51. Harris, David & Kew, Hsein & Taylor, A.M. Robert, 2020. "Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem," Journal of Econometrics, Elsevier, vol. 219(2), pages 354-388.
    52. Tu, Yundong & Yi, Yanping, 2017. "Forecasting cointegrated nonstationary time series with time-varying variance," Journal of Econometrics, Elsevier, vol. 196(1), pages 83-98.
    53. Harvey, David I. & Leybourne, Stephen J. & Sollis, Robert & Taylor, A.M. Robert, 2016. "Tests for explosive financial bubbles in the presence of non-stationary volatility," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 548-574.
    54. Chang, Jinyuan & Cheng, Guanghui & Yao, Qiwei, 2022. "Testing for unit roots based on sample autocovariances," LSE Research Online Documents on Economics 114620, London School of Economics and Political Science, LSE Library.
    55. Kim, Chang Sik & Lee, Sungro, 2011. "Spurious regressions driven by excessive volatility," Economics Letters, Elsevier, vol. 113(3), pages 292-297.
    56. Xu, Ke-Li, 2008. "Testing against nonstationary volatility in time series," Economics Letters, Elsevier, vol. 101(3), pages 288-292, December.
    57. Herwartz, Helmut & Siedenburg, Florian, 2009. "The effects of variance breaks on homogenous panel unit root tests," Economics Working Papers 2009-07, Christian-Albrechts-University of Kiel, Department of Economics.
    58. Hanck, Christoph, 2008. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," MPRA Paper 11988, University Library of Munich, Germany.
    59. Matei Demetrescu & Christoph Hanck, 2016. "Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 751-781, May.
    60. Boswijk, H. P. & Zu, Y., 2013. "Testing for Cointegration with Nonstationary Volatility," Working Papers 13/08, Department of Economics, City University London.
    61. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.
    62. Rustam Ibragimov & Jihyun Kim & Anton Skrobotov, 2020. "New robust inference for predictive regressions," Papers 2006.01191, arXiv.org, revised Mar 2023.
    63. Andria C. Evripidou & David I. Harvey & Stephen J. Leybourne & Robert Sollis, 2022. "Testing for Co‐explosive Behaviour in Financial Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 624-650, June.
    64. Helmut Herwartz & Florian Siedenburg, 2013. "To converge or not converge: unit labor cost inflation in the Euro area," Empirical Economics, Springer, vol. 44(2), pages 455-467, April.
    65. Wang, Shaoping & Li, Yanglin & Wen, Kuangyu, 2021. "Recursive adjusted unit root tests under non-stationary volatility," Economics Letters, Elsevier, vol. 205(C).
    66. Fried, Roland, 2012. "On the online estimation of local constant volatilities," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3080-3090.
    67. Eiji Kurozumi & Anton Skrobotov & Alexey Tsarev, 2020. "Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility," Papers 2012.13937, arXiv.org, revised Nov 2021.
    68. Matei Demetrescu & Christoph Hanck, 2013. "Nonlinear IV panel unit root testing under structural breaks in the error variance," Statistical Papers, Springer, vol. 54(4), pages 1043-1066, November.
    69. Skrobotov Anton & Cavaliere Giuseppe & Taylor Robert, 2016. "Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility," Working Papers wpaper-2016-269, Gaidar Institute for Economic Policy, revised 2016.
    70. Eroğlu, Burak Alparslan & Yiğit, Taner, 2016. "A nonparametric unit root test under nonstationary volatility," Economics Letters, Elsevier, vol. 140(C), pages 6-10.
    71. Kawka, Rafael, 2022. "Convergence of spectral density estimators in the locally stationary framework," Econometrics and Statistics, Elsevier, vol. 24(C), pages 94-115.
    72. Matei Demetrescu & Robinson Kruse-Becher, 2021. "Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models," CREATES Research Papers 2021-07, Department of Economics and Business Economics, Aarhus University.
    73. Hanck, C.H., 2009. "Nonstationary-volatility robust panel unit root tests and the great moderation," Research Memorandum 009, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    74. Skrobotov Anton, 2023. "Testing for explosive bubbles: a review," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-26, January.
    75. Anton Skrobotov, 2022. "Testing for explosive bubbles: a review," Papers 2207.08249, arXiv.org.
    76. Siphat Lim, 2021. "Testing Purchasing Power Parity in Cambodia: Time-Varying Trade Weights in Constructing Real Effective Exchange Rate," International Journal of Economics and Financial Issues, Econjournals, vol. 11(3), pages 146-153.
    77. Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model," Papers 1907.04147, arXiv.org, revised Oct 2020.
    78. Helmut Herwartz & Jan Roestel, 2011. "Convergence of Real Capital Market Interest Rates—Evidence from Inflation Indexed Bonds," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(7), pages 1523-1541, October.
    79. Esteve, Vicente & Prats, María A., 2023. "Testing explosive bubbles with time-varying volatility: the case of Spanish public debt," LSE Research Online Documents on Economics 116980, London School of Economics and Political Science, LSE Library.
    80. Xu, Ke-Li, 2013. "Power monotonicity in detecting volatility levels change," Economics Letters, Elsevier, vol. 121(1), pages 64-69.
    81. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    82. Ke-Li Xu & Jui-Chung Yang, 2015. "Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non-stationary Volatility," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 63-86, March.
    83. Esteve, Vicente & Prats, María A., 2023. "Testing explosive bubbles with time-varying volatility: The case of Spanish public debt," Finance Research Letters, Elsevier, vol. 51(C).
    84. Xu, Ke-Li, 2016. "Multivariate trend function testing with mixed stationary and integrated disturbances," Journal of Multivariate Analysis, Elsevier, vol. 147(C), pages 38-57.
    85. Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
    86. Kemal Çag̃lar Gög̃ebakan & Burak Alparslan Eroglu, 2022. "Non-parametric seasonal unit root tests under periodic non-stationary volatility," Computational Statistics, Springer, vol. 37(5), pages 2581-2636, November.
    87. Patilea, V. & Raïssi, H., 2013. "Corrected portmanteau tests for VAR models with time-varying variance," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 190-207.
    88. Jiang, Feiyu & Li, Dong & Zhu, Ke, 2021. "Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model," Journal of Econometrics, Elsevier, vol. 224(2), pages 306-329.
    89. Eiji Kurozumi & Anton Skrobotov, 2021. "On the asymptotic behavior of bubble date estimators," Papers 2110.04500, arXiv.org, revised Sep 2022.
    90. Neil Kellard & Denise Osborn & Jerry Coakley & Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2015. "Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 603-629, September.

  44. Cavaliere, Giuseppe & Fanelli, Luca & Gardini, Attilio, 2006. "Regional consumption dynamics and risk sharing in Italy," International Review of Economics & Finance, Elsevier, vol. 15(4), pages 525-542.

    Cited by:

    1. Giuseppe Cavaliere & Luca Fanelli & Paolo Paruolo, 2009. "Tests for cointegration rank and choice of the alternative," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(2), pages 169-191, July.
    2. Braeu, Rebecca, 2010. "Consumption tilting and the current account: Evidence from Canada," International Review of Economics & Finance, Elsevier, vol. 19(2), pages 304-312, April.
    3. Pierfederico Asdrubali & Simone Tedeschi & Luigi Ventura, 2020. "Household risk‐sharing channels," Quantitative Economics, Econometric Society, vol. 11(3), pages 1109-1142, July.
    4. Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini, 2006. "International dynamic risk sharing," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.
    5. Fanelli, Luca & Cavaliere, Giuseppe & Gardini, Attilio, 2004. "Consumption risk sharing and adjustment costs," MPRA Paper 1641, University Library of Munich, Germany, revised Nov 2006.
    6. Jose Maria Casado, 2012. "Consumption partial insurance of Spanish households," Working Papers 1214, Banco de España.
    7. Saileshsingh Gunessee & Cheng Zhang, 2022. "The economics of domestic market integration," Journal of Economic Surveys, Wiley Blackwell, vol. 36(4), pages 1069-1095, September.

  45. Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing the Null of Co‐integration in the Presence of Variance Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(4), pages 613-636, July.
    See citations under working paper version above.
  46. Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing for a Change in Persistence in the Presence of a Volatility Shift," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 761-781, December.

    Cited by:

    1. Pierre Perron & Yohei Yamamoto, 2022. "Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 389-411, May.
    2. Manuel Gomez & Daniel Ventosa-Santaularia, 2007. "Inflation and breaks: the validity of the Dickey-Fuller test," Department of Economics and Finance Working Papers EM200601, Universidad de Guanajuato, Department of Economics and Finance.
    3. Halunga, Andreea G. & Osborn, Denise R. & Sensier, Marianne, 2009. "Changes in the order of integration of US and UK inflation," Economics Letters, Elsevier, vol. 102(1), pages 30-32, January.
    4. Petrenko, Victoria (Петренко, ВИктория) & Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Maria (Турунцева, Мария), 2016. "Testing of Changes in Persistence and Their Effect on the Forecasting Quality [Тестирование Изменения Инерционности И Влияние На Качество Прогнозов]," Working Papers 542, Russian Presidential Academy of National Economy and Public Administration.
    5. Uwe Hassler & Jan Scheithauer, 2008. "On Critical Values of Tests against a Change in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 705-710, October.
    6. D. Ventosa-Santaulària, 2009. "Spurious Regression," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
    7. Ventosa-Santaulária, Daniel & Gómez-Zaldívar, Manuel, 2009. "Broken mean stationarity and the validity of the Dickey-Fuller test: the case of controlled inflation," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.

  47. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2005. "Stationarity Tests Under Time-Varying Second Moments," Econometric Theory, Cambridge University Press, vol. 21(6), pages 1112-1129, December.

    Cited by:

    1. Wagner, Martin & Wied, Dominik, 2014. "Monitoring Stationarity and Cointegration," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100386, Verein für Socialpolitik / German Economic Association.
    2. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
    3. Cheng, Xu & Phillips, Peter C.B., 2012. "Cointegrating rank selection in models with time-varying variance," Journal of Econometrics, Elsevier, vol. 169(2), pages 155-165.
    4. Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing for a Change in Persistence in the Presence of a Volatility Shift," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 761-781, December.
    5. 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.
    6. Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2009. "Testing for unit roots in the presence of a possible break in trend and non-stationary volatility," Discussion Papers 09/05, University of Nottingham, Granger Centre for Time Series Econometrics.
    7. Barbara Rossi & Raffaella Giacomini, 2010. "Model Comparisons in Unstable Environments," Working Papers 10-29, Duke University, Department of Economics.
    8. Raffaella Giacomini & Barbara Rossi, 2012. "Model comparisons in unstable environments," CeMMAP working papers 13/12, Institute for Fiscal Studies.
    9. C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute.
    10. Lui, Yiu Lim & Phillips, Peter C.B. & Yu, Jun, 2022. "Robust Testing for Explosive Behavior with Strongly Dependent Errors," Economics and Statistics Working Papers 11-2022, Singapore Management University, School of Economics.
    11. Busettti, F. & Harvey, A., 2007. "Tests of time-invariance," Cambridge Working Papers in Economics 0701, Faculty of Economics, University of Cambridge.
    12. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
    13. Georgiev, I & Harvey, DI & Leybourne, SJ & Taylor, AM, 2018. "Testing for Parameter Instability in Predictive Regression Models," Essex Finance Centre Working Papers 21162, University of Essex, Essex Business School.
    14. Demetrescu, Matei & Sibbertsen, Philipp, 2014. "Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility," Hannover Economic Papers (HEP) dp-531, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    15. Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2016. "Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form," Working Paper 1324, Economics Department, Queen's University.
    16. Tu, Yundong & Yi, Yanping, 2017. "Forecasting cointegrated nonstationary time series with time-varying variance," Journal of Econometrics, Elsevier, vol. 196(1), pages 83-98.
    17. Pedro Carneiro & Tewolde Ghebremeskel & Joseph Keating & Andrea Locatelli, 2012. "Do public health interventions crowd out private health investments? Malaria control policies in Eritrea," CeMMAP working papers 12/12, Institute for Fiscal Studies.
    18. Denisa Roberts & Douglas Patterson, 2018. "A Second Order Cumulant Spectrum Test That a Stochastic Process is Strictly Stationary and a Step Toward a Test for Graph Signal Strict Stationarity," Papers 1801.06727, arXiv.org, revised Mar 2020.
    19. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    20. Fabio Busetti & Andrew Harvey, 2010. "Tests of strict stationarity based on quantile indicators," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(6), pages 435-450, November.

  48. Giuseppe Cavaliere, 2005. "Unit Root Tests under Time-Varying Variances," Econometric Reviews, Taylor & Francis Journals, vol. 23(3), pages 259-292.
    See citations under working paper version above.
  49. Giuseppe Cavaliere, 2005. "Testing mean reversion in target-zone exchange rates," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2335-2347.

    Cited by:

    1. Miller, J. Isaac, 2011. "Testing the bounds: Empirical behavior of target zone fundamentals," Economic Modelling, Elsevier, vol. 28(4), pages 1782-1792, July.
    2. Margherita Gerolimetto & Stefano Magrini, 2020. "Testing for boundary conditions in case of fractionally integrated processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 357-371, June.

  50. Cavaliere, Giuseppe, 2005. "Limited Time Series With A Unit Root," Econometric Theory, Cambridge University Press, vol. 21(5), pages 907-945, October.
    See citations under working paper version above.
  51. Attilio Gardini & Giuseppe Cavaliere & Luca Fanelli, 2005. "Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia," Rivista di Politica Economica, SIPI Spa, vol. 95(3), pages 219-266, May-June.
    See citations under working paper version above.
  52. Cavaliere, Giuseppe, 2004. "Testing stationarity under a permanent variance shift," Economics Letters, Elsevier, vol. 82(3), pages 403-408, March.

    Cited by:

    1. Daiki Maki, 2015. "Wild bootstrap tests for unit root in ESTAR models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(3), pages 475-490, September.
    2. Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing for a Change in Persistence in the Presence of a Volatility Shift," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 761-781, December.
    3. 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.
    4. 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.
    5. D. Ventosa-Santaul a & M. G -Zald & F. H. Wallace, 2015. "The real exchange rate, regime changes and volatility shifts," Applied Economics, Taylor & Francis Journals, vol. 47(24), pages 2445-2454, May.
    6. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford.
    7. Maki, Daiki, 2008. "The size performance of a nonparametric unit root test under a variance shift," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 743-748, April.
    8. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2005. "Stationarity Tests Under Time-Varying Second Moments," Econometric Theory, Cambridge University Press, vol. 21(6), pages 1112-1129, December.
    9. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    10. Joo-Yeon Hyun & Hyeong Ho Mun & Tae-Hwan Kim & Jinook Jeong, 2010. "The effect of a variance shift on the Breusch-Godfrey's LM test," Applied Economics Letters, Taylor & Francis Journals, vol. 17(4), pages 399-404.

  53. Giuseppe Cavaliere, 2003. "Asymptotics for unit root tests under Markov regime-switching," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 193-216, June.

    Cited by:

    1. Randolph & Xiao Qin & Tan Gee Kwang, 2004. "Unit Root Tests with Markov-Switching," Econometric Society 2004 Australasian Meetings 145, Econometric Society.
    2. Cavaliere, Giuseppe, 2004. "Testing stationarity under a permanent variance shift," Economics Letters, Elsevier, vol. 82(3), pages 403-408, March.
    3. David O'Toole, 2009. "Exchange Rate Forecasts and Stochastic Trend Breaks," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2009.
    4. Kanas, Angelos, 2006. "Purchasing Power Parity and Markov Regime Switching," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1669-1687, September.
    5. Qin Xiao & Randolph Gee Kwang Tan, 2006. "Markov-switching Unit Root Test: A study of the Property Price Bubbles in Hong Kong and Seoul," Economic Growth Centre Working Paper Series 0602, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    6. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 140(2), pages 919-947, October.
    7. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.

  54. Giuseppe Cavaliere, 2002. "Bounded integrated processes and unit root tests," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 11(1), pages 41-69, February.

    Cited by:

    1. Christis Katsouris, 2022. "Asymptotic Theory for Unit Root Moderate Deviations in Quantile Autoregressions and Predictive Regressions," Papers 2204.02073, arXiv.org, revised Aug 2023.
    2. Margherita Gerolimetto & Stefano Magrini, 2020. "Testing for boundary conditions in case of fractionally integrated processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 357-371, June.

  55. Giuseppe Cavaliere, 2001. "Testing the unit root hypothesis using generalized range statistics," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-39.

    Cited by:

    1. Gilles Dufrenot & Elisabeth Grimaud & Eugénie Latil & Valerie Mignon, 2008. "Modelling The Slow Mean‐Reversion Of The Central And Eastern European Countries' Real Exchange Rates," Manchester School, University of Manchester, vol. 76(1), pages 21-43, January.
    2. In Choi, 2019. "Unit Root Tests for Dependent Micropanels," The Japanese Economic Review, Japanese Economic Association, vol. 70(2), pages 145-167, June.
    3. Karim M. Abadir & Gabriel Talmain, 2012. "Beyond Co-Integration: Modelling Co-Movements in Macro finance," Working Paper series 25_12, Rimini Centre for Economic Analysis.
    4. Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Real convergence in Taiwan: a fractionally integrated approach," Journal of Asian Economics, Elsevier, vol. 15(3), pages 529-547, June.
    5. In Choi, 2014. "Unit root tests for dependent and heterogeneous micropanels," Working Papers 1404, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    6. Karim M. Abadir & Gabriel Talmain, 2008. "Macro and Financial Markets: The Memory of an Elephant?," Working Paper series 17_08, Rimini Centre for Economic Analysis.
    7. Giuseppe Cavaliere, 2002. "Bounded integrated processes and unit root tests," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 11(1), pages 41-69, February.
    8. Karim M. Abadir, 2013. "Lies, Damned Lies, and Statistics? Examples From Finance and Economics," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 5(4), pages 231-248, December.
    9. Christopher Krauss & Klaus Herrmann, 2017. "On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts," JRFM, MDPI, vol. 10(1), pages 1-24, February.
    10. Giuseppe Cavaliere, 2005. "Testing mean reversion in target-zone exchange rates," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2335-2347.
    11. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2009. "Two estimators of the long-run variance: Beyond short memory," Journal of Econometrics, Elsevier, vol. 150(1), pages 56-70, May.
    12. Abadir, Karim & Talmain, Gabriel, 2005. "Distilling co-movements from persistent macro and financial series," Working Paper Series 525, European Central Bank.

  56. Guiseppe Cavaliere & Michele Costa, 1999. "Firm size and the Italian Stock Exchange," Applied Economics Letters, Taylor & Francis Journals, vol. 6(11), pages 729-734.

    Cited by:

    1. Romilda Mazzotta & Stefania Veltri, 2014. "The relationship between corporate governance and the cost of equity capital. Evidence from the Italian stock exchange," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 18(2), pages 419-448, May.
    2. Antonella Silvestri & Stefania Veltri, 2012. "A Test Of The Ohlson Model On The Italian Stock Exchange," Accounting & Taxation, The Institute for Business and Finance Research, vol. 4(1), pages 83-94.
    3. Anna Pirogova & Antonio Roma, 2020. "Performance of value‐ and size‐based strategies in the Italian stock market," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(1), February.
    4. Filippo Vitolla & Antonio Salvi & Nicola Raimo & Felice Petruzzella & Michele Rubino, 2020. "The impact on the cost of equity capital in the effects of integrated reporting quality," Business Strategy and the Environment, Wiley Blackwell, vol. 29(2), pages 519-529, February.

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