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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
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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
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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
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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
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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
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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
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Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices
Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Econometric reviews 30 (2011) 5, pp. 514-547
Persistent link: https://www.econbiz.de/10009130228