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Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots

Busetti, Fabio; Taylor, A. M. Robert - In: Journal of Econometrics 117 (2003) 1, pp. 21-53

Persistent link: https://www.econbiz.de/10005228546

Tests of stationarity against a change in persistence

Busetti, Fabio; Taylor, A. M. Robert - In: Journal of Econometrics 123 (2004) 1, pp. 33-66

Persistent link: https://www.econbiz.de/10005285386

Quantiles, expectiles and splines

De Rossi, Giuliano; Harvey, Andrew - In: Journal of Econometrics 152 (2009) 2, pp. 179-185

A time-varying quantile can be fitted by formulating a time series model for the corresponding population quantile and iteratively applying a suitably modified state space signal extraction algorithm. It is shown that such quantiles satisfy the defining property of fixed quantiles in having the...

Persistent link: https://www.econbiz.de/10005022948

Testing for a slowly changing level with special reference to stochastic volatility

Harvey, Andrew; Streibel, Mariane - In: Journal of Econometrics 87 (1998) 1, pp. 167-189

Persistent link: https://www.econbiz.de/10005285969

Unobserved component time series models with Arch disturbances

Harvey, Andrew; Ruiz, Esther; Sentana, Enrique - In: Journal of Econometrics 52 (1992) 1-2, pp. 129-157

Persistent link: https://www.econbiz.de/10005238992