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Testing for a Unit Root in a Process Exhibiting a Structural Break in the Presence of GARCH Errors
16 references·3 citing·27 second hop
Testing for a Unit Root in a Process Exhibiting a Structural Break in the Presence of GARCH Errors (2002)Testing for a Unit Root in a Process Exhi…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Further evidence on breaking trend functions in macroeconomic variables (1997)Further evidence on breaking …Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…ARCH modeling in finance (1992)ARCH modeling in financeStationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Recursive and Sequential Test…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Determinants and Effectiveness of Foreign Exchange Market Intervention in Georgia (2011)Determinants and Effectivenes…Trends in world energy prices (2010)Trends in world energy pricesA re‐examination of the stationarity of inflation (2009)A re‐examination of the stati…The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Residual-based tests for cointegration in models with regime shifts (1996)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)The Quarterly Journal of Economics (2024)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Testing for unit roots in heterogeneous panels (2003)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis3,283 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1997Further evidence on breaking trend functions in macroeconomic variables2,035 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis1,956 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence

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870 cited
  • 2002The Message in Daily Exchange Rates791 cited
  • Cited by

    • 2010Trends in world energy prices65 cited
    • 2009A re‐examination of the stationarity of inflation14 cited
    • 2011Determinants and Effectiveness of Foreign Exchange Market Intervention in Georgia11 cited