Detecting structural changes in volatility is important for understanding volatility dynamics and stylized facts observed for financial returns such as volatility persistence. We propose modified CUSUM and LM tests that are built on a robust estimator of the long run variance of squared series....

In this paper we define a family of tests for the Martingale Difference Hypothesis (MDH) based upon a shrinkage principle. Tests within this family are such that rejection of the null implies that forecasts from the alternative model, adjusted by a shrinkage factor, will display lower Mean...

This paper proposes a new mutual independence test for a large number of high dimensional random vectors. The test statistic is based on the characteristic function of the empirical spectral distribution of the sample covariance matrix. The asymptotic distributions of the test statistic under...

Capturing dependence among a large number of high dimensional random vectors is a very important and challenging problem. By arranging n random vectors of length p in the form of a matrix, we develop a linear spectral statistic of the constructed matrix to test whether the n random vectors are...

In this paper we investigate the behavior of stationarity tests proposed by Muller (2005) and Harris et al. (2007) with uncertainty over the trend and/or initial condition. As for different magnitudes of local trend and initial value different tests are efficient, we propose following Harvey et...

In this paper we extend the stationarity test proposed by Kurozumi and Tanaka (2010) for reducing size distortion with one structural break. We fi nd the bias up to the order of 1=T for four types of models containing structural breaks. The simulations on finite samples show a reducing of size...

We propose a new way to conduct multiple hypothesis testing in economics research. Our framework allows for correlation among tests and incomplete data, both of which are prevalent in economic meta-analysis. Our simulations show that that our method is able to produce the correct p-value cutoff...

In this paper we propose tests based on GLS-detrending for testing the null hypothesis of deterministic seasonality. Unlike existing tests for deterministic seasonality, our tests do not suff er from asymptotic size distortions under near integration. We also investigate the behavior of the...

In a recently publicized study, Harvey et al. (2012) investigated procedures for unit root testing employing break detection methods under local break in trend. We apply this methodology to analyze asymptotic and nite sample behavior of procedures under local break to test the stationarity null...

In an important generalization of zero frequency autoregressive unit root tests, Hylleberg, Engle, Granger, and Yoo (1990) developed regression-based tests for unit roots at the seasonal frequencies in quarterly time series. We develop likelihood ratio tests for seasonal unit roots and show that...