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Additional critical values and asymptotic representations for seasonal unit root tests
Smith, Richard J. - In: Journal of econometrics 85 (1998) 2, pp. 269-288
Persistent link: https://www.econbiz.de/10001240193
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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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Testing for structural stability of factor augmented forecasting models
Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 182 (2014) 1, pp. 100-118
Persistent link: https://www.econbiz.de/10010497112
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On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
Burridge, Peter; Taylor, Robert - In: Journal of econometrics 104 (2001) 1, pp. 91-117
Persistent link: https://www.econbiz.de/10001589527
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Predictive ability with cointegrated variables
Corradi, Valentina; Swanson, Norman R.; Olivetti, Claudia - In: Journal of econometrics 104 (2001) 2, pp. 315-358
Persistent link: https://www.econbiz.de/10001606596
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A consistent test for nonlinear out of sample predictive accuracy
Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 110 (2002) 2, pp. 353-381
Persistent link: https://www.econbiz.de/10001703526
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Recursive and rolling regression-based tests of the seasonal unit root hypothesis
Smith, Richard J.; Taylor, Robert - In: Journal of econometrics 105 (2001) 2, pp. 309-336
Persistent link: https://www.econbiz.de/10001633661
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Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
Corradi, Valentina; Swanson, Norman R.; White, Halbert - In: Journal of econometrics 96 (2000) 1, pp. 39-73
Persistent link: https://www.econbiz.de/10001466743
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Reconsidering the continuous time limit of the GARCH(1,1) process
Corradi, Valentina - In: Journal of econometrics 96 (2000) 1, pp. 145-153
Persistent link: https://www.econbiz.de/10001466750
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Tests of stationarity against a change in persistence
Busetti, Fabio; Taylor, Robert - In: Journal of econometrics 123 (2004) 1, pp. 33-66
Persistent link: https://www.econbiz.de/10002223712