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Citations for "Unit root tests with conditional heteroskedasticity"

by Kim, Kiwhan & Schmidt, Peter

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  1. Rodrigues, Paulo M.M. & Rubia, Antonio, 2005. "The performance of unit root tests under level-dependent heteroskedasticity," Economics Letters, Elsevier, vol. 89(3), pages 262-268, December.
  2. 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.
  3. Seo, Byeongseon, 1999. "Distribution theory for unit root tests with conditional heteroskedasticity1," Journal of Econometrics, Elsevier, vol. 91(1), pages 113-144, July.
  4. Li, Yushu & Shukur, Ghazi, 2009. "Testing for Unit Root against LSTAR model – wavelet improvements under GARCH distortion," Working Paper Series in Economics and Institutions of Innovation 184, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
  5. Donald W.K. Andrews & Patrik Guggenberger, 2008. "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity," Cowles Foundation Discussion Papers 1665R, Cowles Foundation for Research in Economics, Yale University, revised Mar 2010.
  6. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
  7. Salisu, Afees A. & Adeleke, Adegoke I., 2016. "Further application of Narayan and Liu (2015) unit root model for trending time series," Economic Modelling, Elsevier, vol. 55(C), pages 305-314.
  8. Jin-Yu Zhang & Yong Li & Zhu-Ming Chen, 2013. "Unit Root Hypothesis in the Presence of Stochastic Volatility, a Bayesian Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 41(1), pages 89-100, January.
  9. Paulo M.M. Rodrigues & Antonio Rubia, 2004. "On The Small Sample Properties Of Dickey Fuller And Maximum Likelihood Unit Root Tests On Discrete-Sampled Short-Term Interest Rates," Working Papers. Serie AD 2004-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  10. Marco Taboga, 2013. "What is a prime bank? A Euribor � OIS spread perspective," Temi di discussione (Economic working papers) 895, Bank of Italy, Economic Research and International Relations Area.
  11. Li, Yong & Chong, Terence Tai-Leung & Zhang, Jie, 2012. "Testing for a unit root in the presence of stochastic volatility and leverage effect," Economic Modelling, Elsevier, vol. 29(5), pages 2035-2038.
  12. Paresh K Narayan & Ruipeng Liu, "undated". "A GARCH Model for Testing Market Efficiency," Financial Econometics Series 2015_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  13. Donald W. K. Andrews & Patrik Guggenberger, 2014. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," The Review of Economics and Statistics, MIT Press, vol. 96(2), pages 376-381, May.
  14. Kai Carstensen, 2003. "The finite-sample performance of robust unit root tests," Statistical Papers, Springer, vol. 44(4), pages 469-482, October.
  15. Lopez, Jose A, 2001. "Evaluating the Predictive Accuracy of Volatility Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(2), pages 87-109, March.
  16. Georgios KOURETAS & Mark E. WOHAR, "undated". "The Dynamics of Inflation: A Study of a Large Number of Countries," EcoMod2010 259600096, EcoMod.
  17. Moïse Sidiropoulos & Jamel Trabelsi, 2001. "Les chocs monétaires et la persistance du taux de chômage," Economie & Prévision, La Documentation Française, vol. 148(2), pages 41-47.
  18. Hou, Ai Jun & Suardi, Sandy, 2011. "Modelling and forecasting short-term interest rate volatility: A semiparametric approach," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 692-710, September.
  19. Cook, Steven, 2006. "The impact of GARCH on asymmetric unit root tests," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 369(2), pages 745-752.
  20. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Discussion Papers in Economics at the University of Washington 0040, Department of Economics at the University of Washington.
  21. Charles R. Nelson & Jeremy M. 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.).
  22. Vinod Mishra & Russell Smyth, 2014. "Is Monthly US Natural Gas Consumption Stationary? New Evidence from a GARCH Unit Root Test with Structural Breaks," Monash Economics Working Papers 09-14, Monash University, Department of Economics.
  23. Cavaliere, Giuseppe, 2004. "Testing stationarity under a permanent variance shift," Economics Letters, Elsevier, vol. 82(3), pages 403-408, March.
  24. Silvo Dajcman, 2012. "The Dynamics of Return Comovement and Spillovers Between the Czech and European Stock Markets in the Period 1997–2010," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(4), pages 368-390, August.
  25. Y Hsing, 2004. "Impacts of Dollar Depreciation and Low Deposit Rates on the US Economy," Economic Issues Journal Articles, Economic Issues, vol. 9(1), pages 1-14, March.
  26. 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.
  27. Strohsal, Till & Weber, Enzo, 2010. "Mean-Variance Cointegration and the Expectations Hypothesis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 442, University of Regensburg, Department of Economics.
  28. Chew Lian Chua & Sandy Suardi, 2006. "Testing for a Unit Root in the Presence of a Jump Diffusion Process with GARCH Errors," Melbourne Institute Working Paper Series wp2006n28, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  29. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94 Edward Elgar Publishing.
  30. Steven Cook, 2009. "A re-examination of the stationarity of inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 1047-1053.
  31. Paulo Rodrigues & Antonio Rubia, 2008. "A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity," Statistical Papers, Springer, vol. 49(3), pages 581-593, July.
  32. Jerome Henry & Jens Weidmann, 2005. "The French-German Interest Rate Differential Since German," International Finance 0503009, EconWPA.
  33. Wolters, Jürgen & Hassler, Uwe, 2005. "Unit root testing," Discussion Papers 2005/23, Free University Berlin, School of Business & Economics.
  34. Jeng, Jau-Lian, 1999. "Interest parity, fractional differencing, and the strength of attraction: a reexamination of the cost-of-carry futures pricing model," Global Finance Journal, Elsevier, vol. 10(1), pages 25-34.
  35. Hecq, Alain, 1995. "Unit root tests with level shift in the presence of GARCH," Economics Letters, Elsevier, vol. 49(2), pages 125-130, August.
  36. Lean, Hooi Hooi & Smyth, Russell, 2014. "Testing for weak-form efficiency of Crude Palm Oil Spot and Futures Markets: New Evidence from a GARCH Unit Root Test with Multiple Structural Breaks," MPRA Paper 59121, University Library of Munich, Germany.
  37. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Valuation ratios and price deviations from fundamentals," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2325-2346, August.
  38. Marc Sáez & Robert M. Kunst, 1995. "ARCH patterns in cointegrated systems," Economics Working Papers 110, Department of Economics and Business, Universitat Pompeu Fabra.
  39. Alvaro Escribano & J. Ignacio Peña & Pablo Villaplana, 2011. "Modelling Electricity Prices: International Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 622-650, October.
  40. Hooi Hooi Lean & Russell Smyth, 2015. "Conditional Convergence in US Disaggregated Petroleum Consumption at the Sector Level," Monash Economics Working Papers 03-15, Monash University, Department of Economics.
  41. Zhijie Xiao & Luiz Renato Lima, 2007. "Testing Covariance Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 26(6), pages 643-667.
  42. Mantalos, Panagiotis, 2012. "Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation," Working Papers 2012:2, Örebro University, School of Business.
  43. BAUWENS, Luc & DEPRINS, Dominique & VANDEUREN, Jean-Pierre, 1997. "Modelling interest rates with a cointegrated VAR-GARCH model," CORE Discussion Papers 1997080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  44. Theologos Pantelidis & Nikitas Pittis, 2009. "Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroscedasticity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 612-630.
  45. Jamel Trabelsi, 1997. "Les tests de racine unitaire et les modèles Arch : application au taux de chômage," Économie et Prévision, Programme National Persée, vol. 131(5), pages 177-190.
  46. Panagiotis Mantalos & Kristofer Mansson & Ghazi Shukur, 2010. "The effect of spillover on the Johansen tests for cointegration: a Monte Carlo analysis," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(3/4), pages 327-342.
  47. Steven Cook, 2006. "GARCH, heteroscedasticity-consistent covariance matrix estimation and (non)linear unit root testing," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(4), pages 217-222, July.
  48. Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016. "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 31-38.
  49. Lee, Tae-Hwy & Tse, Yiuman, 1996. "Cointegration tests with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 73(2), pages 401-410, August.
  50. 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.
  51. Vougas, Dimitrios V., 2008. "Unit root testing based on BLUS residuals," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1943-1947, September.
  52. Hartmann, Philipp, 1999. "Trading volumes and transaction costs in the foreign exchange market: Evidence from daily dollar-yen spot data," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 801-824, May.
  53. Ho, Kin Yip & Tsui, Albert K.C., 2004. "Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach," China Economic Review, Elsevier, vol. 15(4), pages 424-442.
  54. Giovanni Razzu & Carl Singleton, 2013. "Are Business Cycles Gender Neutral?," Economics & Management Discussion Papers em-dp2013-07, Henley Business School, Reading University.
  55. Cook, Steven, 2008. "Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 109-116.
  56. Lee, Tae-Hwy & Gonzalo, Jesús, 1995. "No lack of relative power of the Dickey-Fuller tests for unit roots," DES - Working Papers. Statistics and Econometrics. WS 4512, Universidad Carlos III de Madrid. Departamento de Estadística.
  57. Hamori, Shigeyuki & Tokihisa, Akira, 1997. "Testing for a unit root in the presence of a variance shift1," Economics Letters, Elsevier, vol. 57(3), pages 245-253, December.
  58. Matei Demetrescu, 2010. "On the Dickey–Fuller test with White standard errors," Statistical Papers, Springer, vol. 51(1), pages 11-25, January.
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