Many key macro-economic and financial variables are characterised by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with nonstationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as...

In this paper we analyse the properties of the conventional Gaussian-based co-integrating rank tests of Johansen (1996) in the case where the vector of series under test is driven by possibly non-stationary, conditionally heteroskedastic (martingale difference) innovations. We first demonstrate...

In this paper we analyse the impact of non-stationary volatility on the recently developed unit root tests which allow for a possible break in trend occurring at an unknown point in the sample, considered in Harris, Harvey, Leybourne and Taylor (2009) [HHLT]. HHLT's analysis hinges on a new...

Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank of Johansen (1996) can be unreliable in small samples with...

Conventional unit root tests are known to be unreliable in the presence of permanent volatility shifts. In this paper, we propose a new approach to unit root testing which is valid in the presence of a quite general class of permanent variance changes which includes single and multiple (abrupt...

We show that changes in the innovation covariance matrix of a vector of series can generate spurious rejections of the null hypothesis of co-integration when applying standard residual-based co-integration tests. A bootstrap solution to the inference problem is suggested which is shown to...

We consider the impact of a break in the innovation volatility process on ratio-based persistence change tests. We demonstrate that the ratio statistics used do not have pivotal limiting null distributions and that the associated tests display a considerable degree of size distortion with size...

Many key macro-economic and ?nancial variables are characterised by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as...

It is well known that the standard independent, identically distributed (iid) bootstrap of the mean is inconsistent in a location model with infinite variance (α-stable) innovations. This occurs because the bootstrap distribution of a normalised sum of infinite variance random variables tends...

In a recent paper Hualde and Robinson (2011) establish consistency and asymptotic normality for conditional sum-of-squares estimators, which are equivalent to conditional quasi-maximum likelihood estimators, in parametric fractional time series models driven by conditionally homoskedastic...