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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter; Cavaliere, Giuseppe; Rahbek, Anders - In: Journal of econometrics 192 (2016) 1, pp. 64-85
Persistent link: https://www.econbiz.de/10011615672
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Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 198 (2017) 1, pp. 165-188
Persistent link: https://www.econbiz.de/10011818374
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Testing for a change in persistence in the presence of non-stationary volatility
Cavaliere, Giuseppe; Taylor, Robert - In: Journal of econometrics 147 (2008) 1, pp. 84-98
Persistent link: https://www.econbiz.de/10003783787
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Bootstrapping the HEGY seasonal unit root tests
Burridge, Peter; Taylor, Robert - In: Journal of econometrics 123 (2004) 1, pp. 67-87
Persistent link: https://www.econbiz.de/10002223722
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Testing for parameter instability in predictive regression models
Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of econometrics 204 (2018) 1, pp. 101-118
Persistent link: https://www.econbiz.de/10011974719
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Extensions to IVX methods of inference for return predictability
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-30
Persistent link: https://www.econbiz.de/10014471800
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Modified tests for a change in persistence
Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 134 (2006) 2, pp. 441-469
Persistent link: https://www.econbiz.de/10003374331
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Robust methods for detecting multiple level breaks in autocorrelated time series
Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 157 (2010) 2, pp. 342-358
Persistent link: https://www.econbiz.de/10008662998
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A simple, robust and powerful test of the trend hypothesis
Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 141 (2007) 2, pp. 1302-1330
Persistent link: https://www.econbiz.de/10003571459