Narrow search
Showing 1 - 10 of 14
Cover Image
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
Cover Image
Lag length selection for unit root tests in the presence of nonstationary volatility
Cavaliere, Giuseppe; Phillips, Peter C. B.; Smeekes, Stephan - In: Econometric reviews 34 (2015) 1/5, pp. 512-536
Persistent link: https://www.econbiz.de/10011373261
Cover Image
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
Cavaliere, Giuseppe; Skrobotov, Anton; Taylor, Robert - In: Econometric reviews 38 (2019) 5, pp. 509-532
Persistent link: https://www.econbiz.de/10012181330
Cover Image
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter; Cavaliere, Giuseppe; De Angelis, Luca - In: Econometric reviews 42 (2023) 9/10, pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Cover Image
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 880-896
Persistent link: https://www.econbiz.de/10013534577
Cover Image
Variance shifts, structural breaks, and stationarity tests
Busetti, Fabio; Taylor, Robert - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 4, pp. 510-531
Persistent link: https://www.econbiz.de/10001807005
Cover Image
Tests for an end-of-sample bubble in financial time series
Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Econometric reviews 36 (2017) 6/9, pp. 651-666
Persistent link: https://www.econbiz.de/10011795312
Cover Image
Bootstrap determination of the co-integration rank in heteroskedastic var models
Cavaliere, Guiseppe; Rahbek, Anders; Taylor, Robert - In: Econometric reviews 33 (2014) 5/6, pp. 606-650
Persistent link: https://www.econbiz.de/10010363896
Cover Image
The performance of lag selection and detrending methods for HEGY seasonal unit root tests
Barrio Castro, Tomás del; Osborn, Denise R.; Taylor, Robert - In: Econometric reviews 35 (2016) 1/4, pp. 122-168
Persistent link: https://www.econbiz.de/10011549897
Cover Image
Robust stationarity tests in seasonal time series processes
Taylor, Robert - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 1, pp. 156-163
Persistent link: https://www.econbiz.de/10001728891