Narrow search
Showing 171 - 180 of 1,121
Cover Image
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
Cover Image
Bonferroni-type tests for return predictability with possibly trending predictors
Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - 2025
Persistent link: https://www.econbiz.de/10015372710
Cover Image
Rejoinder
Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Econometric theory 25 (2009) 3, pp. 658-667
Persistent link: https://www.econbiz.de/10003864156
Cover Image
Bootstrap sequential determination of the co-integrated rank in VAR models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert - 2010
Persistent link: https://www.econbiz.de/10003932092
Cover Image
Cointegration rank inference with stationary regressors in VAR models
Rahbek, Anders; Mosconi, Rocco - In: The econometrics journal 2 (1999) 1, pp. 76-91
Persistent link: https://www.econbiz.de/10001449262
Cover Image
Asymptotic likelihood based inference for cointegrated homogenous Gaussian diffusions
Kessler, Mathieu; Rahbek, Anders - 1999
Persistent link: https://www.econbiz.de/10001456590
Cover Image
Weak exogeneity in I(2) VAR systems
Paruolo, Paolo; Rahbek, Anders - In: Journal of econometrics 93 (1999) 2, pp. 281-308
Persistent link: https://www.econbiz.de/10001406658
Cover Image
Similarity issues in cointegration analysis
Nielsen, Bent; Rahbek, Anders - In: Oxford bulletin of economics and statistics 62 (2000) 1, pp. 5-22
Persistent link: https://www.econbiz.de/10001481785
Cover Image
Trend-stationarity in the I(2) cointegration model
Jørgensen, Clara M. D. - 1996
Persistent link: https://www.econbiz.de/10000952100
Cover Image
Stationary and asymptotics of multivariate ARCH time series with an application to robustness of cointegration analysis
Hansen, Ernst; Rahbek, Anders - 1998
Persistent link: https://www.econbiz.de/10001369614