This paper shows how fractional unit root tests originally derived under stationarity can be made robust to heteroskedasticity. This is done by using existing tests nested in a regression framework and then implementing these tests using White's heteroskedasticity consistent standard errors. We...

We propose extensions of the Box-Pierce (1970) portmanteau autocorrelation test to allow for two generalisations: (i) time series that exhibit unconditional heteroskedasticity and (ii) to test for the presence of autocorrelation only after a fixed lag q. These extensions involve a generalised...

We consider the problem of hypothesis testing in a modified version of the stochastic integration and cointegration framework of Harris, McCabe and Leybourne (2002). This nonlinear setup allows for volatility in excess of that catered for by the standard integration/cointegration paradigm...