This paper addresses the problem of testing for the presence of unit autoregressive roots in seasonal time series with negatively correlated moving average components. For such cases, many of the commonly used tests are known to have exact sizes much higher than their nominal significance level....

Building on the work of Pantula (1986), this paper discusses how the hypothesis of conditional variance nonstationarity in the logarithmic family of generalized autoregressive conditional heteroskedasticity (GARCH) and stochastic volatility processes may be tested using regression-based tests....

This paper explores the possibility of evaluating the adequacy of Markov-switching time series models by comparing selected functionals (such as the spectral density function and moving empirical moments) obtained from the data with those of the fitted model using a bootstrap algorithm. The...