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Variance Shifts, Structural Breaks, and Stationarity Tests

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References

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n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited
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1999A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series446 cited
1986Unit roots, structural breaks and trends438 cited

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1992Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence405 cited

1999Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger313 cited

Cited by

2007Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility61 cited
2008Testing for a change in persistence in the presence of non-stationary volatility42 cited
2005STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS42 cited
2012Adaptive estimation of vector autoregressive models with time-varying variance: Application to testing linear causality in mean35 cited
2008Bootstrapping Autoregression under Non-stationary Volatility35 cited
2011BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY33 cited
2014Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility31 cited
2011TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY28 cited
2006Convergences of Prices and Rates of Inflation27 cited
2012Robustifying multivariate trend tests to nonstationary volatility25 cited
2013Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity24 cited
2019Several Important Unit Root Tests19 cited
2018BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS17 cited
2005Non-stationarity Tests in Macroeconomic Time Series16 cited
2005Rank-based unit root testing in the presence of structural change under the null: simulation results and an application to US inflation13 cited
2015Transmission of US monetary policy into the Canadian economy: A structural cointegration analysis10 cited