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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579

Persistent link: https://www.econbiz.de/10011499761

Bootstrap co-integration rank testing : the effect of bias-correcting parameter estimates

Cavaliere, Giuseppe; Taylor, Robert; Trenkler, Carsten - 2013

In this paper we investigate bootstrap-based methods for bias-correcting the first-stage parameter estimates used in some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we adapt the framework of Kilian (1998) which estimates...

Persistent link: https://www.econbiz.de/10011490238

Robust and powerful tests for nonlinear deterministic components

Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Oxford bulletin of economics and statistics 77 (2015) 6, pp. 780-799

Persistent link: https://www.econbiz.de/10011396540

Robust tests for a linear trend with an application to equity indices

Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Journal of empirical finance 29 (2014), pp. 168-185

Persistent link: https://www.econbiz.de/10011300487

Bootstrap co-integration rank testing : the effect of bias-correcting parameter estimates

Cavaliere, Giuseppe; Taylor, Robert; Trenkler, Carsten - In: Oxford bulletin of economics and statistics 77 (2015) 5, pp. 740-759

Persistent link: https://www.econbiz.de/10011383823

On the behaviour of Phillips-Perron tests in the presence of persistent cycles

Barrio Castro, Tomás del; Rodrigues, Paulo M. M.; … - In: Oxford bulletin of economics and statistics 77 (2015) 4, pp. 495-511

Persistent link: https://www.econbiz.de/10011383853

Lag length selection for unit root tests in the presence of nonstationary volatility

Cavaliere, Giuseppe; Phillips, Peter C. B.; Smeekes, Stephan - In: Econometric reviews 34 (2015) 1/5, pp. 512-536

Persistent link: https://www.econbiz.de/10011373261

A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models

Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; … - In: Oxford bulletin of economics and statistics 77 (2015) 1, pp. 106-128

Persistent link: https://www.econbiz.de/10011373619

Testing for parameter instability in predictive regression models

Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of econometrics 204 (2018) 1, pp. 101-118

Persistent link: https://www.econbiz.de/10011974719

Special issue of Econometric theory in honor of Professor Richard J. Smith : guest editors' introduction

Jansson, Michael (ed.); Taylor, Robert (ed.); … - In: Econometric theory 34 (2018) 2, pp. 247-252

Persistent link: https://www.econbiz.de/10011950951