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Unit Root Testing with Unstable Volatility
16 references·5 citing·27 second hop
Unit Root Testing with Unstable Volatility (2017)Unit Root Testing with Unstable VolatilityBOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY (2007)BOOTSTRAP UNIT ROOT TESTS FOR…Testing for unit roots in time series models with non-stationary volatility (2006)Testing for unit roots in tim…Unit Root Tests under Time-Varying Variances (2005)Unit Root Tests under Time-Va…Unit root tests with a break in innovation variance (2002)Unit root tests with a break …LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …Distribution theory for unit root tests with conditional heteroskedasticity (1999)Distribution theory for unit …A Class of Tests for Integration and Cointegration (1999)A Class of Tests for Integrat…A Primer on Unit Root Testing (1998)A Primer on Unit Root TestingUseful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties (1996)Useful Modifications to some …Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…LM TESTS FOR A UNIT ROOT IN THE PRESENCE OF DETERMINISTIC TRENDS* (1992)LM TESTS FOR A UNIT ROOT IN T…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Towards a Unified Asymptotic Theory for Autoregression (1987)Towards a Unified Asymptotic …Time Series Regression with a Unit Root (1987)Time Series Regression with a…CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility (2021)CUSUM-Based Monitoring for Ex…SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY (2019)SIGN-BASED UNIT ROOT TESTS FO…Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility (2017)Adaptive Wild Bootstrap Tests…Testing for structural change under non‐stationary variances (2015)Testing for structural change…Robustifying multivariate trend tests to nonstationary volatility (2012)Robustifying multivariate tre…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)Long memory processes and fractional integration in econometrics (1996)A PANIC Attack on Unit Roots and Cointegration (2004)The local power of some unit root tests for panel data (2004)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)A Fractional Dickey-Fuller Test for Unit Roots (2002)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)UNIT ROOT TESTS WITH WAVELETS (2010)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a unit root in panels with dynamic factors (2004)Efficient tests of stock return predictability☆ (2006)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Long-run PPP may not hold after all (2000)Nonparametric tests for unit roots and cointegration (2002)A Parametric approach to the Estimation of Cointegration Vectors in Panel Data (2005)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Unit root tests for panel data (2001)Energy consumption, income, and carbon emissions in the United States (2006)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)
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References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1987Towards a Unified Asymptotic Theory for Autoregression842 cited
  • 1992LM TESTS FOR A UNIT ROOT IN THE PRESENCE OF DETERMINISTIC TRENDS*832 cited
  • 1996Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties590 cited
  • 1998A Primer on Unit Root Testing275 cited
  • 2006Testing for unit roots in time series models with non-stationary volatility168 cited
  • 2005Unit Root Tests under Time-Varying Variances149 cited
  • 2007BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY145 cited
  • 1999Distribution theory for unit root tests with conditional heteroskedasticity123 cited
  • 2002Unit root tests with a break in innovation variance123 cited

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  • 1999A Class of Tests for Integration and Cointegration114 cited
  • Cited by

    • 2019SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY36 cited
    • 2015Testing for structural change under non‐stationary variances28 cited
    • 2021CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility27 cited
    • 2012Robustifying multivariate trend tests to nonstationary volatility25 cited
    • 2017Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility15 cited