IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

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

by Hamori, Shigeyuki & Tokihisa, Akira

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Xu Cheng & Peter C. B. Phillips, 2009. "Cointegrating Rank Selection in Models with Time-Varying Variance," Cowles Foundation Discussion Papers 1688, Cowles Foundation for Research in Economics, Yale University.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Shigeyuki Hamori & Yoshihiro Hashiguchi, 2012. "Small sample properties of CIPS panel unit root test under conditional and unconditional heteroskedasticity," Economics Bulletin, AccessEcon, vol. 32(3), pages 2353-2365.
  8. José L. Fernández-Serrano & Simón Sosvilla-Rivero, . "Modelling evolving long-run relationships: the linkages between stock markets in asia," Working Papers 2000-11, FEDEA.
  9. 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.
  10. 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.
  11. 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.
  12. José L. Fernández-Serrano & Simón Sosvilla-Rivero, . "Modelling the linkages between US and Latin American stock markets," Working Papers 2002-14, FEDEA.
  13. Ventosa-Santaulària, Daniel, 2008. "Spurious Regression," MPRA Paper 59008, University Library of Munich, Germany.
  14. 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.
  15. 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.
  16. 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.
  17. Charles R. Nelson & Jeremy Piger & Eric Zivot, 2000. "Markov regime-switching and unit root tests," International Finance Discussion Papers 683, Board of Governors of the Federal Reserve System (U.S.).
  18. Maurice Obstfeld & Alan M. Taylor, 2003. "Globalization and Capital Markets," NBER Chapters, in: Globalization in Historical Perspective, pages 121-188 National Bureau of Economic Research, Inc.
  19. Vasco J. Gabriel & Luis F. Martins, 2010. "Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," NIPE Working Papers 28/2010, NIPE - Universidade do Minho.
  20. Serena Ng & Pierre Perron, 2002. "PPP May not Hold Afterall: A Further Investigation," Annals of Economics and Finance, Society for AEF, vol. 3(1), pages 43-64, May.
  21. 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.
  22. Cavaliere, Giuseppe, 2004. "Testing stationarity under a permanent variance shift," Economics Letters, Elsevier, vol. 82(3), pages 403-408, March.
  23. 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.
  24. Czudaj, Robert & Hanck, Christoph, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79734, Verein für Socialpolitik / German Economic Association.
  25. Hanck, Christoph, 2008. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," MPRA Paper 11988, University Library of Munich, Germany.
  26. 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.
  27. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2004. "A Range Unit Root Test," Statistics and Econometrics Working Papers ws041104, Universidad Carlos III, Departamento de Estadística y Econometría.
  28. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford.
  29. 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.
  30. 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.
  31. 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).
  32. 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.
  33. Demetrescu, Matei & Hanck, Christoph, 2012. "A simple nonstationary-volatility robust panel unit root test," Economics Letters, Elsevier, vol. 117(1), pages 10-13.
  34. 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.
  35. 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.
  36. Brandan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Series Working Papers 2008-WO6, University of Oxford, Department of Economics.
  37. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.