HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT

Hsein Kew · David Harris

33 citations0/0 files storedEconometric Theory

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Diverse Scientific and Economic Studies

Abstract

This paper shows how fractional unit root tests originally derived under stationarity can be made robust to heteroskedasticity. This is done by using existing tests nested in a regression framework and then implementing these tests using White's heteroskedasticity consistent standard errors. We show this approach is effective both asymptotically and in finite samples. We also provide some evidence on the asymptotic local power of different implementations of the tests, both under homoskedasticity and heteroskedasticity.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 33 citations exist upstream.

References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1994Efficient Tests of Nonstationary Hypotheses 1991Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression 1999Alternative forms of fractional Brownian motion 1999THE NONSTATIONARY FRACTIONAL UNIT ROOT 2006Testing for unit roots in time series models with non-stationary volatility 2002A Fractional Dickey-Fuller Test for Unit Roots

Cited by

2013Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets 2012Long memory in US real output per capita

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.