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Citations for "Unit root tests with a break in innovation variance"

by Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul

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  1. Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585R, Cowles Foundation for Research in Economics, Yale University, revised Nov 2006.
  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. Fabio Busetti & Silvia Fabiani & Andrew Harvey, 2006. "Convergences of prices and rates of inflation," Temi di discussione (Economic working papers) 575, Bank of Italy, Economic Research and International Relations Area.
  4. 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.
  5. 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.
  6. Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2015. "Revisiting non-linearities in business cycles around the world," MPRA Paper 65668, University Library of Munich, Germany.
  7. 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.
  8. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," 2004 Annual meeting, August 1-4, Denver, CO 20141, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  9. Steven Cook, 2005. "Rank-based unit root testing in the presence of structural change under the null: simulation results and an application to US inflation," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 607-617.
  10. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs E:47/2012, .
  11. 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.
  12. 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.
  13. 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.
  14. Taipalus, Katja, 2012. "Signaling asset price bubbles with time-series methods," Research Discussion Papers 7/2012, Bank of Finland.
  15. 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.
  16. repec:zbw:rwirep:0434 is not listed on IDEAS
  17. 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).
  18. Taipalus , Katja, 2012. "Signaling asset price bubbles with time-series methods," Research Discussion Papers 7/2012, Bank of Finland.
  19. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," Working Papers 127145, Cornell University, Department of Applied Economics and Management.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. Broda, Simon & Carstensen, Kai & Paolella, Marc S., 2007. "Bias-adjusted estimation in the ARX(1) model," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3355-3367, April.
  26. 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.
  27. D. Ventosa-Santaulària & M. Gómez-Zaldívar & 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.
  28. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford.
  29. 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.
  30. 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.
  31. Cavaliere, Giuseppe, 2004. "Testing stationarity under a permanent variance shift," Economics Letters, Elsevier, vol. 82(3), pages 403-408, March.
  32. Sen, Amit, 2009. "Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative," Statistics & Probability Letters, Elsevier, vol. 79(3), pages 354-360, February.
  33. Xi Chen & Michael Funke, 2013. "Renewed Momentum in the German Housing Market: Boom or Bubble?," CESifo Working Paper Series 4287, CESifo Group Munich.
  34. 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.
  35. Ventosa-Santaulària, Daniel, 2008. "Spurious Regression," MPRA Paper 59008, University Library of Munich, Germany.
  36. 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.
  37. Steven Cook, 2003. "Empirical evidence on the robustness of the weighted symmetric unit root test," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 761-763.
  38. 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.
  39. 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.
  40. 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.
  41. Hanck, Christoph, 2008. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," MPRA Paper 11988, University Library of Munich, Germany.
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