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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

Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility

Cavaliere, Giuseppe - 2008

In this paper we analyse the impact of non-stationary volatility on the recently developed unit root tests which allow for a possible break in trend occurring at an unknown point in the sample, considered in Harris, Harvey, Leybourne and Taylor (2008) [HHLT]. HHLT's analysis hinges on a new...

Persistent link: https://www.econbiz.de/10012722463

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

Busetti, Fabio - 2003

Persistent link: https://www.econbiz.de/10013439314

Unit root tests under time-varying variances

Cavaliere, Giuseppe - In: Econometric reviews 23 (2004) 3, pp. 259-292

Persistent link: https://www.econbiz.de/10002263235

Testing stationarity under a permanent variance shift

Cavaliere, Giuseppe - In: Economics letters 82 (2004) 3, pp. 403-408

Persistent link: https://www.econbiz.de/10001938525

Variance shifts, structural breaks, and stationarity tests

Busetti, Fabio; Taylor, Robert - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 4, pp. 510-531

Persistent link: https://www.econbiz.de/10001807005

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

Taylor, Robert; Busetti, Fabio - 2002

Persistent link: https://www.econbiz.de/10001663131

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

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

Persistent link: https://www.econbiz.de/10001787600

Testing the null of co-integration in the presence of variance breaks

Cavaliere, Guiseppe; Taylor, Robert - 2005

Persistent link: https://www.econbiz.de/10002929019

Semiparametric tests for the order of integration in the possible presence of level breaks

Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 880-896

Persistent link: https://www.econbiz.de/10013534577

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