Similar Search Results

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

A note on testing covariance stationarity

Cavaliere, Giuseppe; Taylor, Robert - In: Econometric reviews 28 (2009) 4, pp. 364-371

Persistent link: https://www.econbiz.de/10003864024

Testing for a change in persistence in the presence of a volatility shift

Cavaliere, Giuseppe; Taylor, Robert - In: Oxford bulletin of economics and statistics 68 (2006), pp. 761-781

Persistent link: https://www.econbiz.de/10003393459

Stationarity tests under time-varying second moments

Cavaliere, Giuseppe; Taylor, Robert - In: Econometric theory 21 (2005) 6, pp. 1112-1129

Persistent link: https://www.econbiz.de/10003193565

Stationarity tests under time-varying second moments

Cavaliere, Giuseppe; Taylor, Robert - 2004

Persistent link: https://www.econbiz.de/10002379273

An optimal test against a Random walk component in a non-orthogonal unobserved components model

Bailey, Ralph W. - 2000

Persistent link: https://www.econbiz.de/10013442514

Testing against stochastic trend and seasonality in the presence ofunattended breaks and unit roots

Busetti, Fabio - 2003

Persistent link: https://www.econbiz.de/10013439314

Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms

Trenkler, Carsten (contributor) - 2006

In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lütkepohl (2000b) and Saikkonen, Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their...

Persistent link: https://www.econbiz.de/10003324256

A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms

Trenkler, Carsten (contributor) - In: Economics bulletin : EB (2003)

Persistent link: https://www.econbiz.de/10002489687

Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms

Trenkler, Carsten (contributor) - 2004

In this paper I present a procedure to approximate the asymptotic distributions of systems cointegration tests with a prior adjustment for deterministic terms suggested by Lütkepohl, Saikkonen & Trenkler (2004), Saikkonen & Lütkepohl (2000a, 2000b, 2000c), and Saikkonen & Luukkonen (1997). The...

Persistent link: https://www.econbiz.de/10003024234