SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT
16 references·2 citing·43 second hop
HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT (2009)HETEROSKEDASTICITY-ROBUST TESTING FOR A F…Efficient Wald Tests for Fractional Unit Roots (2007)Efficient Wald Tests for Frac…BOOTSTRAP 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 …Inference on the cointegration rank in fractionally integrated processes (2002)Inference on the cointegratio…A Fractional Dickey-Fuller Test for Unit Roots (2002)A Fractional Dickey-Fuller Te…Spectral tests of the martingale hypothesis under conditional heteroscedasticity (2000)Spectral tests of the marting…THE NONSTATIONARY FRACTIONAL UNIT ROOT (1999)THE NONSTATIONARY FRACTIONAL …Alternative forms of fractional Brownian motion (1999)Alternative forms of fraction…Testing for a unit root in the presence of a variance shift (1997)Testing for a unit root in th…Regression with Nonstationary Volatility (1995)Regression with Nonstationary…Efficient Tests of Nonstationary Hypotheses (1994)Efficient Tests of Nonstation…Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression (1991)Testing for strong serial cor…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Output Fluctuations in the United States: What Has Changed since the Early 1980's?Output Fluctuations in the Un…Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets (2013)Bootstrap Score Tests for Fra…Long memory in US real output per capita (2012)Long memory in US real output…Asymptotic Theory for ARCH Models: Estimation and Testing (1986)Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon (1999)Alternative Variance-Ratio Tests Using Ranks and Signs (2000)Modelling Nonlinear Economic Time Series (2010)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autoregressive Unit Root (1996)Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap (2008)Testing for co-integration in vector autoregressions with non-stationary volatility (2010)Bubbles in food commodity markets: Four decades of evidence (2013)Fractional Brownian Motions, Fractional Noises and Applications (1968)Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Multiple Time Series Regression with Integrated Processes (1986)Semiparametric fractional cointegration analysis (2001)Nonstationarity-extended local Whittle estimation (2007)EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND (2009)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)The limit distribution of the estimates in cointegrated regression models with multiple structural changes (2008)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)5 Stochastic volatility (1996)Dealing with Structural Breaks (2005)Unit Roots and Cointegration in Panels (2008)Continuous Martingales and Brownian Motion (1999)Detecting and Predicting Forecast Breakdowns (2009)On the power of Dickey-Fuller tests against fractional alternatives (1991)Likelihood inference for a nonstationary fractional autoregressive model (2010)Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models (2010)Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Modelling structural breaks, long memory and stock market volatility: an overview (2004)The use of the bloomfield model as an approximation to ARMA processes in the context of fractional integration (2004)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)What is an Oil Shock? (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)American Economic Review (2019)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited
  • 1994Efficient Tests of Nonstationary Hypotheses863 cited
  • 1991Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression440 cited
  • 1999Alternative forms of fractional Brownian motion289 cited
  • 1999THE NONSTATIONARY FRACTIONAL UNIT ROOT210 cited
  • 2006Testing for unit roots in time series models with non-stationary volatility168 cited
  • 2002A Fractional Dickey-Fuller Test for Unit Roots153 cited
  • 2005Unit Root Tests under Time-Varying Variances149 cited
  • 2007BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY145 cited
  • 2007Efficient Wald Tests for Fractional Unit Roots123 cited
  • 2002Unit root tests with a break in innovation variance123 cited
  • 2002Inference on the cointegration rank in fractionally integrated processes113 cited
  • 2000Spectral tests of the martingale hypothesis under conditional heteroscedasticity103 cited
  • 1997Testing for a unit root in the presence of a variance shift

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

100 cited
  • 1995Regression with Nonstationary Volatility90 cited
  • Cited by

    • 2013Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets30 cited
    • 2012Long memory in US real output per capita14 cited