returns. We prove consistency and asymptotic normality of a symmetric variance estimator and of a one-sided variance estimator …

. Consistency and asymptotic normality of a symmetric and of a one-sided kernel estimator of volatility are outlined with remarks on …

as the threshold variable. The asymptotic distribution of the proposed Wald test is non-standard and depends on nuisance … asymptotic theory for this bootstrap. It is demonstrated by a set of Monte Carlo simulations that the Wald test exhibits … considerable power gains over the ADF test that neglects threshold effects. The law of one price hypothesis is investigated among …

scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety … of modelling scenarios in the econometrics literature where such methods are required. Four different methods to test the …

those suggested by Phillips and Ouliaris (1988) which test the null of 'no cointegration' …

, if the break point is gleaned from the data. In this sense, applying a recursive tDF test to a unit root process which …, in line with Leybourne et al. (1998), some distortion in the Dickey-Fuller tDF test size, which depends on the break size …

Carlo methods. In terms of the size of the test, our analysis reveals that unit root tests with NoVaS-modified critical … values have actual sizes close to the nominal size. For the power of the test, we find that unit root tests with NoVaS …