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Bootstrap Unit Root Tests For Time Series With Nonstationary Volatility

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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.
  2. 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.
  3. Steenkamp, Daan, 2018. "Explosiveness in G11 currencies," Economic Modelling, Elsevier, vol. 68(C), pages 388-408.
  4. 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.
  5. 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.
  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. 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.
  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. 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.
  10. Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020. "Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 676-690, September.
  11. Christoph Hanck & Robert Czudaj, 2015. "Nonstationary-volatility robust panel unit root tests and the great moderation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(2), pages 161-187, April.
  12. 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.
  13. Kline, Patrick & Santos, Andres, 2012. "Higher order properties of the wild bootstrap under misspecification," Journal of Econometrics, Elsevier, vol. 171(1), pages 54-70.
  14. 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.
  15. Patrick Marsh, "undated". "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.
  16. 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.
  17. 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.
  18. Christoph Hanck & Robert Czudaj, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," Ruhr Economic Papers 0434, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  19. El-Shagi Makram, 2012. "The Distorting Impact of Capital Controls," German Economic Review, De Gruyter, vol. 13(1), pages 41-55, February.
  20. 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.
  21. Skrobotov Anton, 2023. "Testing for explosive bubbles: a review," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-26, January.
  22. 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.
  23. 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.
  24. Anton Skrobotov, 2022. "Testing for explosive bubbles: a review," Papers 2207.08249, arXiv.org.
  25. 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.
  26. 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.
  27. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," Discussion Papers 10-07, University of Copenhagen. Department of Economics.
  28. 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.
  29. Xu, Ke-Li, 2012. "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, vol. 169(2), pages 147-154.
  30. 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).
  31. Brendan K. Beare, 2018. "Unit Root Testing with Unstable Volatility," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 816-835, November.
  32. 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.
  33. Stephan Smeekes, 2013. "Detrending Bootstrap Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 869-891, November.
  34. 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.
  35. Nikolaos Kourogenis, 2015. "Polynomial Trends, Nonstationary Volatility and the Eicker-White Asymptotic Variance Estimator," Economics Bulletin, AccessEcon, vol. 35(3), pages 1675-1680.
  36. 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.
  37. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.
  38. 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.
  39. repec:zbw:rwirep:0434 is not listed on IDEAS
  40. 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.
  41. 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.
  42. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94, Edward Elgar Publishing.
  43. 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.
  44. Hamdi Raissi, 2022. "On the dependence structure of the trade/no trade sequence of illiquid assets," Papers 2203.08223, arXiv.org.
  45. Smeekes, Stephan & Taylor, A.M. Robert, 2012. "Bootstrap Union Tests For Unit Roots In The Presence Of Nonstationary Volatility," Econometric Theory, Cambridge University Press, vol. 28(2), pages 422-456, April.
  46. 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.
  47. Skrobotov, Anton, 2018. "On bootstrap implementation of likelihood ratio test for a unit root," Economics Letters, Elsevier, vol. 171(C), pages 154-158.
  48. 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.
  49. 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.
  50. 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.
  51. 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.
  52. 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.
  53. 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.
  54. 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.
  55. 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.
  56. Brandan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Series Working Papers 2008-WO6, University of Oxford, Department of Economics.
  57. 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.
  58. Yu, Lu & Li, Yanglin, 2023. "Testing factor models when asset bubbles occur: A time-varying perspective," Economic Modelling, Elsevier, vol. 124(C).
  59. 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).
  60. 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).
  61. 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.
  62. 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.
  63. 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).
  64. Sven Otto, 2021. "Unit root testing with slowly varying trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 85-106, January.
  65. 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.
  66. 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.
  67. 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.
  68. 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.
  69. Sven Otto, 2020. "Unit Root Testing with Slowly Varying Trends," Papers 2003.04066, arXiv.org, revised Aug 2020.
  70. 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.
  71. Wang, Shaoping & Li, Yanglin & Wen, Kuangyu, 2021. "Recursive adjusted unit root tests under non-stationary volatility," Economics Letters, Elsevier, vol. 205(C).
  72. Hirukawa, Junichi & Raïssi, Hamdi, 2020. "Testing linear relationships between non-constant variances of economic variables," Economic Modelling, Elsevier, vol. 90(C), pages 182-189.
  73. 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.
  74. 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.
  75. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, Robert, 2010. "Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 28, pages 519-552, Diciembre.
  76. 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.
  77. 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.
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