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A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending

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  • Joakim Westerlund

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  • Joakim Westerlund, 2013. "A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 477-495, July.
    • Handle: RePEc:bla:jtsera:v:34:y:2013:i:4:p:477-495
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    1. Boswijk, H.P., 2000. "Testing for a Unit Root with Near-Integrated Volatility," CeNDEF Working Papers 00-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    2. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
    3. Park, Joon Y. & Phillips, Peter C.B., 1989. "Statistical Inference in Regressions with Integrated Processes: Part 2," Econometric Theory, Cambridge University Press, vol. 5(1), pages 95-131, April.
    4. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2009. "Heteroskedastic Time Series With A Unit Root," Econometric Theory, Cambridge University Press, vol. 25(5), pages 1228-1276, October.
    5. Helmut Herwartz & Helmut Lütkepohl, 2011. "Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 281-291, May.
    6. Hansen, Bruce E., 1992. "Convergence to Stochastic Integrals for Dependent Heterogeneous Processes," Econometric Theory, Cambridge University Press, vol. 8(4), pages 489-500, December.
    7. Elliott, Graham & Jansson, Michael, 2003. "Testing for unit roots with stationary covariates," Journal of Econometrics, Elsevier, vol. 115(1), pages 75-89, July.
    8. Ling, Shiqing & Li, W.K., 2003. "Asymptotic Inference For Unit Root Processes With Garch(1,1) Errors," Econometric Theory, Cambridge University Press, vol. 19(4), pages 541-564, August.
    9. Hansen, Bruce E, 1995. "Regression with Nonstationary Volatility," Econometrica, Econometric Society, vol. 63(5), pages 1113-1132, September.
    10. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    11. Joakim Westerlund & David L. Edgerton, 2007. "New Improved Tests for Cointegration with Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(2), pages 188-224, March.
    12. Brenner, Robin J. & Harjes, Richard H. & Kroner, Kenneth F., 1996. "Another Look at Models of the Short-Term Interest Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(1), pages 85-107, March.
    13. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus, 2000. "Stationary Arch Models: Dependence Structure And Central Limit Theorem," Econometric Theory, Cambridge University Press, vol. 16(1), pages 3-22, February.
    14. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    15. Westerlund, Joakim & Narayan, Paresh Kumar, 2012. "Does the choice of estimator matter when forecasting returns?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2632-2640.
    16. Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, vol. 2(1), pages 107-131, April.
    17. Seo, Byeongseon, 1999. "Distribution theory for unit root tests with conditional heteroskedasticity1," Journal of Econometrics, Elsevier, vol. 91(1), pages 113-144, July.
    18. Hansen, Bruce E., 1995. "Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power," Econometric Theory, Cambridge University Press, vol. 11(5), pages 1148-1171, October.
    19. Busetti, Fabio & Taylor, A M Robert, 2003. "Variance Shifts, Structural Breaks, and Stationarity Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 510-531, October.
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    Cited by:

    1. Westerlund, Joakim, 2014. "On the choice of test for a unit root when the errors are conditionally heteroskedastic," Computational Statistics & Data Analysis, Elsevier, vol. 69(C), pages 40-53.
    2. Wichert, Oliver, 2022. "Unit-Root tests in high-dimensional panels," Other publications TiSEM f926ab90-382b-4aa5-9532-8, Tilburg University, School of Economics and Management.
    3. Aristidou Chrystalleni & Harvey David I. & Leybourne Stephen J., 2017. "The Impact of the Initial Condition on Covariate Augmented Unit Root Tests," Journal of Time Series Econometrics, De Gruyter, vol. 9(1), pages 1-23, January.
    4. Westerlund, Joakim & Narayan, Paresh, 2014. "Panel versus GARCH information in unit root testing with an application to financial markets," Economic Modelling, Elsevier, vol. 41(C), pages 173-176.
    5. Kaddour Hadri & Eiji Kurozumi & Daisuke Yamazaki, 2015. "Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests," Manchester School, University of Manchester, vol. 83(6), pages 676-700, December.

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