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Citations for "Testing for a unit root in the presence of a variance shift1"

by Hamori, Shigeyuki & Tokihisa, Akira

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  1. Maurice Obstfeld & Alan M. Taylor, 2002. "Globalization and Capital Markets," NBER Working Papers 8846, National Bureau of Economic Research, Inc.
  2. Cook, Steven, 2006. "Testing for cointegration in the presence of mis-specified structural change," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1380-1384, July.
  3. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2007. "Testing for co-integration in vector autoregressions with non-stationary volatility," Discussion Papers 07/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  4. 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.
  5. HASHIGUCHI, Yoshihiro & HAMORI, Shigeyuki, 2010. "Small sample properties of CIPS panel unit root test under conditional and unconditional heteroscedasticity," MPRA Paper 24053, University Library of Munich, Germany.
  6. 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.
  7. repec:oxf:wpaper:2008-wo6 is not listed on IDEAS
  8. Escribano, Álvaro & García, Ana & Aparicio, Felipe M., 2004. "A range unit root test," DES - Working Papers. Statistics and Econometrics. WS ws041104, Universidad Carlos III de Madrid. Departamento de Estadística.
  9. Vasco Gabriel & Luis Martins, 2011. "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship," Empirical Economics, Springer, vol. 41(3), pages 639-662, December.
  10. Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585, Cowles Foundation for Research in Economics, Yale University.
  11. 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.
  12. Baghestani, Hamid, 2008. "A random walk approach to predicting US 30-year home mortgage rates," Journal of Housing Economics, Elsevier, vol. 17(3), pages 225-233, September.
  13. Daniel Ventosa-Santaularia & Frederick Wallace & Manuel Gomez-Zaldívar, 2013. "The Real Exchange Rate, Regime Changes and Volatility Shifts," Working papers DTE 551, CIDE, División de Economía.
  14. Hanck, Christoph, 2008. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," MPRA Paper 11988, University Library of Munich, Germany.
  15. Ventosa-Santaulària, Daniel, 2008. "Spurious Regression," MPRA Paper 59008, University Library of Munich, Germany.
  16. 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.
  17. Serena Ng & Pierre Perron, 2001. "PPP May not Hold After all: A Further Investigation," Economics Working Paper Archive 466, The Johns Hopkins University,Department of Economics.
  18. Nelson, Charles R & Piger, Jeremy & Zivot, Eric, 2001. "Markov Regime Switching and Unit-Root Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 404-415, October.
  19. 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.
  20. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Working Papers 0040, University of Washington, Department of Economics.
  21. José L. Fernández-Serrano & Simón Sosvilla-Rivero, "undated". "Modelling the linkages between US and Latin American stock markets," Working Papers 2002-14, FEDEA.
  22. repec:zbw:rwirep:0434 is not listed on IDEAS
  23. Hanck Christoph, 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).
  24. 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.
  25. Fernandez-Serrano, Jose L. & Sosvilla-Rivero, Simon, 2001. "Modelling evolving long-run relationships: the linkages between stock markets in Asia," Japan and the World Economy, Elsevier, vol. 13(2), pages 145-160, April.
  26. 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.
  27. Sen, Amit, 2007. "On the distribution of Dickey-Fuller unit root statistics when there is a break in the innovation variance," Statistics & Probability Letters, Elsevier, vol. 77(1), pages 63-68, January.
  28. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford.
  29. Kazuhiro Ohtani, 2004. "Exact distribution and critical values of a unit root test in the presence of change in variance," Applied Economics Letters, Taylor & Francis Journals, vol. 11(14), pages 855-860.
  30. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho.
  31. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2005. "Stationarity Tests Under Time-Varying Second Moments," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1112-1129, December.
  32. Demetrescu, Matei & Hanck, Christoph, 2012. "A simple nonstationary-volatility robust panel unit root test," Economics Letters, Elsevier, vol. 117(1), pages 10-13.
  33. Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul, 2002. "Unit root tests with a break in innovation variance," Journal of Econometrics, Elsevier, vol. 109(2), pages 365-387, August.
  34. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  35. 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.
  36. Eklund, Bruno, 2003. "A nonlinear alternative to the unit root hypothesis," SSE/EFI Working Paper Series in Economics and Finance 547, Stockholm School of Economics.
  37. repec:rwi:repape:0434 is not listed on IDEAS
  38. Cavaliere, Giuseppe, 2004. "Testing stationarity under a permanent variance shift," Economics Letters, Elsevier, vol. 82(3), pages 403-408, March.
  39. Steven Cook, 2006. "The robustness of modified unit root tests in the presence of GARCH," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 359-363.
  40. 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.
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