Testing for unit roots in the presence of a possible break in trend and nonstationary volatility
Year of publication: |
2011
|
---|---|
Authors: | Cavaliere, Giuseppe ; Harvey, David I. ; Leybourne, Stephen James ; Taylor, Robert |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 27.2011, 5, p. 957-991
|
Subject: | Zeitreihenanalyse | Time series analysis | Einheitswurzeltest | Unit root test | Volatilität | Volatility | Theorie | Theory | Strukturbruch | Structural break |
-
Unit root testing with unstable volatility
Beare, Brendan K., (2008)
-
Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
Herwartz, Helmut, (2016)
-
Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility
Cavaliere, Giuseppe, (2008)
- More ...
-
On robust trend function hypothesis testing
Harvey, David I., (2005)
-
Testing for a unit root in the presence of a possible break in trend
Harris, David, (2009)
-
Robust methods for detecting multiple level breaks in autocorrelated time series
Harvey, David I., (2010)
- More ...