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Linear and non-linear unit root testing in the presence of heavy-tailed GARCH : a finite-sample simulation analysis

Cook, Steve - In: International journal of computational economics and … 2 (2012) 3/4, pp. 179-196

Persistent link: https://www.econbiz.de/10009756392

Costs of misspecification in break-model unit-root tests

Maican, Florín G.; Sweeney, Richard J. - In: Applied economics 46 (2014) 1/3, pp. 111-118

Persistent link: https://www.econbiz.de/10010354074

Investigating the stationarity of insurance premiums : international evidence

Lee, Chien-chiang; Tsong, Ching-chuan; Yang, Shih-jui; … - In: The European journal of finance 19 (2013) 3/4, pp. 276-297

Persistent link: https://www.econbiz.de/10010243644

Testing for panel unit roots in the presence of spatial dependency

Månsson, Kristofer; Shukur, Ghazi; Sjölander, Pär - In: Applied economics 45 (2013) 28/30, pp. 4152-4159

Persistent link: https://www.econbiz.de/10010345751

Bayesian unit root test in double threshold heteroskedastic models

Chen, Cathy W. S.; Chen, Shu-yu; Lee, Sangyeol - In: Computational economics 42 (2013) 4, pp. 471-490

Persistent link: https://www.econbiz.de/10010249863

The seasonal KPSS test when neglecting seasonal dummies : a Monte Carlo analysis

El Montasser, Ghassen; Boufateh, Talel; Issaoui, Fakhri - 2013

This paper shows through a Monte Carlo analysis the effect of neglecting seasonal deterministics on the seasonal KPSS test. We found that the test is most of the time heavily oversized and not convergent in this case. In addition, Bartlett-type non-parametric correction of error variances did...

Persistent link: https://www.econbiz.de/10011527071