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Heteroskedastic Time Series With A Unit Root

Citations

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Cited by:

  1. Harvey, David I. & Leybourne, Stephen J. & Sollis, Robert & Taylor, A.M. Robert, 2016. "Tests for explosive financial bubbles in the presence of non-stationary volatility," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 548-574.
  2. Giuseppe Cavaliere & Iliyan Georgiev, 2020. "Inference Under Random Limit Bootstrap Measures," Econometrica, Econometric Society, vol. 88(6), pages 2547-2574, November.
  3. 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.
  4. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2017. "Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 198(1), pages 165-188.
  5. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.
  6. repec:zbw:rwirep:0434 is not listed on IDEAS
  7. Meng, Xiaochun & Taylor, James W., 2022. "Comparing probabilistic forecasts of the daily minimum and maximum temperature," International Journal of Forecasting, Elsevier, vol. 38(1), pages 267-281.
  8. Skrobotov, Anton, 2018. "On bootstrap implementation of likelihood ratio test for a unit root," Economics Letters, Elsevier, vol. 171(C), pages 154-158.
  9. Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2024. "Inference in Heavy-Tailed Nonstationary Multivariate Time Series," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(545), pages 565-581, January.
  10. Andria C. Evripidou & David I. Harvey & Stephen J. Leybourne & Robert Sollis, 2022. "Testing for Co‐explosive Behaviour in Financial Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 624-650, June.
  11. Kruel, Maximiliano & Ceretta, Paulo Sergio, 2022. "Asymmetric influences on Latin American stock markets: A quantile approach," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
  12. Matei Demetrescu & Christoph Hanck & Robinson Kruse, 2016. "Fixed-b Inference in the Presence of Time-Varying Volatility," CREATES Research Papers 2016-01, Department of Economics and Business Economics, Aarhus University.
  13. 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.
  14. Smeekes, Stephan & Taylor, A.M. Robert, 2012. "Bootstrap Union Tests For Unit Roots In The Presence Of Nonstationary Volatility," Econometric Theory, Cambridge University Press, vol. 28(2), pages 422-456, April.
  15. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
  16. Wang, Shaoping & Li, Yanglin & Wen, Kuangyu, 2021. "Recursive adjusted unit root tests under non-stationary volatility," Economics Letters, Elsevier, vol. 205(C).
  17. Fried, Roland, 2012. "On the online estimation of local constant volatilities," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3080-3090.
  18. Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020. "Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 676-690, September.
  19. Smeekes, S. & Urbain, J.R.Y.J., 2014. "A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing," Research Memorandum 008, Maastricht University, Graduate School of Business and Economics (GSBE).
  20. Nikolaos Kourogenis, 2015. "Polynomial Trends, Nonstationary Volatility and the Eicker-White Asymptotic Variance Estimator," Economics Bulletin, AccessEcon, vol. 35(3), pages 1675-1680.
  21. Giuseppe Cavaliere & Peter C. B. Phillips & Stephan Smeekes & A. M. Robert Taylor, 2015. "Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 34(4), pages 512-536, April.
  22. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A. M. Robert Taylor, 2022. "Adaptive Inference in Heteroscedastic Fractional Time Series Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 50-65, January.
  23. Plakandaras, Vasilios & Gupta, Rangan & Balcilar, Mehmet & Ji, Qiang, 2022. "Evolving United States stock market volatility: The role of conventional and unconventional monetary policies," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  24. Matei Demetrescu & Christoph Hanck & Adina I. Tarcolea, 2014. "Iv-Based Cointegration Testing In Dependent Panels With Time-Varying Variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 393-406, August.
  25. Brandan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Series Working Papers 2008-WO6, University of Oxford, Department of Economics.
  26. Francesca Di Iorio & Stefano Fachin, 2022. "Fiscal reaction functions for the advanced economies revisited," Empirical Economics, Springer, vol. 62(6), pages 2865-2891, June.
  27. Skrobotov Anton, 2023. "Testing for explosive bubbles: a review," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-26, January.
  28. Anton Skrobotov, 2022. "Testing for explosive bubbles: a review," Papers 2207.08249, arXiv.org.
  29. Tao, Yubo, 2019. "Limit theory for moderate deviation from Integrated GARCH processes," Statistics & Probability Letters, Elsevier, vol. 150(C), pages 126-136.
  30. Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021. "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
  31. Esteve, Vicente & Prats, María A., 2023. "Testing explosive bubbles with time-varying volatility: The case of Spanish public debt," Finance Research Letters, Elsevier, vol. 51(C).
  32. Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson, 2015. "Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112916, Verein für Socialpolitik / German Economic Association.
  33. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015. "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, vol. 187(2), pages 557-579.
  34. Demetrescu, Matei & Kruse, Robinson, 2015. "Testing heteroskedastic time series for normality," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113221, Verein für Socialpolitik / German Economic Association.
  35. Martin C. Arnold & Thilo Reinschlussel, 2024. "Bootstrap Adaptive Lasso Solution Path Unit Root Tests," Papers 2409.07859, arXiv.org.
  36. 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.
  37. Hirukawa, Junichi & Raïssi, Hamdi, 2020. "Testing linear relationships between non-constant variances of economic variables," Economic Modelling, Elsevier, vol. 90(C), pages 182-189.
  38. Vicente Esteve & María A. Prats, 2022. "Testing explosive bubbles with time-varying volatility: The case of the Spanish public debt, 1850?2021," Working Papers 2205, Department of Applied Economics II, Universidad de Valencia.
  39. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
  40. 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.
  41. Patrick Marsh, "undated". "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.
  42. Brendan K. Beare, 2018. "Unit Root Testing with Unstable Volatility," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 816-835, November.
  43. Kemal Çag̃lar Gög̃ebakan & Burak Alparslan Eroglu, 2022. "Non-parametric seasonal unit root tests under periodic non-stationary volatility," Computational Statistics, Springer, vol. 37(5), pages 2581-2636, November.
  44. Guodong Li & Chenlei Leng & Chih-Ling Tsai, 2014. "A Hybrid Bootstrap Approach To Unit Root Tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(4), pages 299-321, July.
  45. Yicong Lin & Mingxuan Song, 2023. "Robust bootstrap inference for linear time-varying coefficient models: Some Monte Carlo evidence," Tinbergen Institute Discussion Papers 23-049/III, Tinbergen Institute.
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