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Determining the cointegration rank in heteroskedastic VAR models of unknown order
Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; … - In: Econometric theory 34 (2018) 2, pp. 349-382
Persistent link: https://www.econbiz.de/10011950959
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COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A.M. Robert - In: Econometric theory 26 (2010) 6, pp. 1719-1761
Persistent link: https://www.econbiz.de/10008719749
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A primer on bootstrap testing of hypotheses in time series models : with an application to double autoregressive models
Cavaliere, Giuseppe; Rahbek, Anders - In: Econometric theory 37 (2021) 1, pp. 1-48
Persistent link: https://www.econbiz.de/10012437042
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Cointegration rank testing under conditional heteroskedasticity
Cavaliere, Guiseppe; Rahbek, Anders; Taylor, Robert - In: Econometric theory 26 (2010) 6, pp. 1719-1760
Persistent link: https://www.econbiz.de/10008738343
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Bootstrap unit root tests for time series with nonstationary volatility
Cavaliere, Giuseppe; Taylor, Robert - In: Econometric theory 24 (2008) 1, pp. 43-71
Persistent link: https://www.econbiz.de/10003894110
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Testing for unit roots in the presence of a possible break in trend and nonstationary volatility
Cavaliere, Giuseppe; Harvey, David I.; Leybourne, … - In: Econometric theory 27 (2011) 5, pp. 957-991
Persistent link: https://www.econbiz.de/10009379762
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Heteroskedastic time series with a unit root
Cavaliere, Giuseppe; Taylor, Robert - In: Econometric theory 25 (2009) 5, pp. 1228-1276
Persistent link: https://www.econbiz.de/10003885750
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Stationarity tests under time-varying second moments
Cavaliere, Giuseppe; Taylor, Robert - In: Econometric theory 21 (2005) 6, pp. 1112-1129
Persistent link: https://www.econbiz.de/10003193565
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Unit root inference for non-stationary linear processes driven by infinite variance innovations
Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert - In: Econometric theory 34 (2018) 2, pp. 302-348
Persistent link: https://www.econbiz.de/10011950958
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Limited time series with a unit root
Cavaliere, Giuseppe - In: Econometric theory 21 (2005) 5, pp. 907-945
Persistent link: https://www.econbiz.de/10003101945