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Bootstrapping noncausal autoregressions : with applications to explosive bubble modeling

Cavaliere, Giuseppe; Bohn Nielsen, Heino; Rahbek, Anders - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 55-67

Persistent link: https://www.econbiz.de/10012179509

Testing the unit root hypothesis using generalized range statistics

Cavaliere, Giuseppe - In: The econometrics journal 4 (2001) 1, pp. 70-88

Persistent link: https://www.econbiz.de/10001612283

Limited time series with a unit root

Cavaliere, Giuseppe - In: Econometric theory 21 (2005) 5, pp. 907-945

Persistent link: https://www.econbiz.de/10003101945

Unit root tests under time-varying variances

Cavaliere, Giuseppe - In: Econometric reviews 23 (2004) 3, pp. 259-292

Persistent link: https://www.econbiz.de/10002263235

Asymptotics for unit root tests under Markov regime-switching

Cavaliere, Giuseppe - In: The econometrics journal 6 (2003) 1, pp. 193-216

Persistent link: https://www.econbiz.de/10001781055

The Autoregressive Conditional Root (ACR) model

Bec, Frédérique; Rahbek, Anders; Shephard, Neil G. - 2005

Persistent link: https://www.econbiz.de/10003281526

Unit root vector autoregression with volatility induced stationarity

Rahbek, Anders; Bohn Nielsen, Heino - 2012

Persistent link: https://www.econbiz.de/10009545958

Unit root vector autoregression with volatility induced stationarity

Rahbek, Anders; Bohn Nielsen, Heino - 2012

Persistent link: https://www.econbiz.de/10009546007

Autoregressive Conditional Root Model

Rahbek, Anders; Shephard, Neil - 2002

In this paper we develop a time series model which allows long-term disequilibriums to have epochs of non-stationarity, giving the impression that long term relationships between economic variables have temporarily broken down, before they endogenously collapse back towards their long term...

Persistent link: https://www.econbiz.de/10014120183

Unit root vector autoregression with volatility induced stationarity

Bohn Nielsen, Heino; Rahbek, Anders - In: Journal of empirical finance 29 (2014), pp. 144-167

Persistent link: https://www.econbiz.de/10011300499