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Nonstationary-volatility robust panel unit root tests and the great moderation : conference paper
Hanck, Christoph; Czudaj, Robert - 2013
This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when there are structural breaks in the innovation...
Persistent link: https://www.econbiz.de/10010343777
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Nonstationary-volatility robust panel unit root tests and the great moderation
Hanck, Christoph; Czudaj, Robert - 2013
Testverfahren, welches auf einer Kombination von Zeitreihen-Einheitswurzeltests basiert. Als Zeitreihen-Einheitswurzeltest werden …
Persistent link: https://www.econbiz.de/10009779045
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On robust properties of the SIML estimation of volatility under micro-market noise and random sampling
Misaki, Hiroumi; Kunitomo, Naoto - In: International review of economics & finance : IREF 40 (2015), pp. 265-281
Persistent link: https://www.econbiz.de/10011573588
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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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Volatility spillover in foreign exchange markets
Rajhans, Rajni Kant; Jain, Anuradha - In: Paradigm : the journal of Institute of Management Technology 19 (2015) 2, pp. 137-151
Persistent link: https://www.econbiz.de/10011761392
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Unit root testing with unstable volatility
Beare, Brendan K. - 2008
Persistent link: https://www.econbiz.de/10003807437
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Bootstrap unit root tests for time series with nonstationary volatility
Cavaliere, Giuseppe; Taylor, Robert - In: Econometric theory 24 (2008) 1, pp. 43-71
Persistent link: https://www.econbiz.de/10003894110
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An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models
Li, Yong; Ni, Zhongxin; Zhang, Jie - In: Computational economics 37 (2011) 3, pp. 237-248
Persistent link: https://www.econbiz.de/10008902927
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Bootstrap union tests for unit roots in the presence of nonstationary volatility
Smeekes, Stephan; Taylor, Robert - 2010
Persistent link: https://www.econbiz.de/10003985793
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Limiting experiments for panel-data and jump-diffusion models
Gaia Becheri, Irene - 2012
This work concerns the theory of limiting experiments and its use in econometrics. In Chapter 2, we consider jump …
Persistent link: https://www.econbiz.de/10009733173