volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … unit roots that is, unlike many previously suggested tests, robust to such volatility processes. The panel test is based on … from sometimes severe size distortions in the presence of nonstationary volatility, and that this defect can be remedied …

volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … unit roots that is, unlike many previously suggested tests, robust to such volatility processes. The panel test is based on … Tests for Models with Non-Stationary Volatility"]. The panel test is robust to general patterns of cross …

-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root … conditional heteroskedasticity). The paper explores the influence of time-varying volatility on fractionally integrated processes …. Concretely, we discuss how to model long memory in the presence of time-varying volatility, and analyze the effects of such …

volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … unit roots that is, unlike many previously suggested tests, robust to such volatility processes. The panel test is based on … from sometimes severe size distortions in the presence of nonstationary volatility, and that this defect can be remedied …

have proposed PURTs that are pivotal in the presence of volatility shifts. The applicability of these tests, however, has …

In this study, we consider a four-regime bubble model under the assumption of time-varying volatility and propose the … algorithm of estimating the break dates with volatility correction: First, we estimate the emerging date of the explosive bubble … the residuals and then employ the WLS-based estimation of the bubble dates. We demonstrate by Monte Carlo simulations that …