Unit Root Testing with Unstable Volatility-Reference-Cited by-同舟云学术

Unit Root Testing with Unstable Volatility

Published:2017-12-21 Issue:6 Volume:39 Page:816-835
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:J. Time Ser. Anal.

Author:

Beare Brendan K.¹

Affiliation:

1. Department of Economics; University of California; San Diego CA USA

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/jtsa.12279/fullpdf

Reference35 articles.

1. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991

2. Nonparametric kernel estimation for semiparametric models;Andrews;Econometric Theory,1995

3. Boswijk HP 2001 Testing for a unit root with near integrated volatility. Tinbergen Institute Discussion Paper 2001-077/4 http://papers.tinbergen.nl/01077.pdf

4. Boswijk HP 2005 Adaptive testing for a unit root with nonstationary volatility. UvA Econometrics Discussion Paper 2005/07 http://dare.uva.nl/document/228023

5. Adaptive wild bootstrap tests for a unit root with nonstationary volatility;Boswijk;Econometrics Journal,2017

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