Testing Mean Stability of Heteroskedastic Time Series
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Other versions of this item:
- Violetta Dalla & Liudas Giraitis & Peter C. B. Phillips, 2015. "Testing Mean Stability of Heteroskedastic Time Series," Cowles Foundation Discussion Papers 2006, Cowles Foundation for Research in Economics, Yale University.
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KeywordsHeteroskedasticity; KPSS test; Mean stability; Variance stability; VS test;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-12-28 (All new papers)
- NEP-ETS-2015-12-28 (Econometric Time Series)
- NEP-ORE-2015-12-28 (Operations Research)
- NEP-SEA-2015-12-28 (South East Asia)
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