Many key macro-economic and financial variables are characterised by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as...

In this paper we investigate the impact which starting values have upon the double differencing tests of Hasza and Fuller (1979, An. Stats.) and Sen and Dickey (1987, Jn.Bus.Ec.Stats.). We demonstrate that when bases on data which has been de-meaned, these tests are not exact similar to the...