Testing for unit roots in time series models with non-stationary volatility

By Giuseppe Cavaliere, Alan M. Taylor. 2007

173 citations recorded by the source corpus.

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In Economics and Econometrics

Citations in the corpus

Testing for a change in persistence in the presence of non-stationary volatility☆ (2008, background): “…been demonstrated that both conventional unit root and stationarity tests suffer from potentially large size distortions in the presence of non-stationary unconditional volatility; cf., Kim, T.-H. et al. (2002), Busetti and Taylor (2003), Cavaliere (2004a,b) and Cavaliere and Taylor (2005,2007a).”
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility (2010, unknown): “Corresponding results for other non-stationary volatility models such as those considered in Cavaliere (2004), Cavaliere and Taylor (2007) did not yield qualitatively di⁄erent results from those presented here for the one time change case and are consequently omitted in the interests of brevity.”
Adaptive Estimation of Autoregressive Models with Time-Varying Variances (2008, methodology): “A general framework to analyze the effect of time-varying variances on unit root tests was given in Cavaliere (2004b) and Cavaliere and Taylor (2004).”
The limit distribution of the estimates in cointegrated regression models with multiple structural changes (2008, methodology): “Instead of having a limit distribution in terms of standard Wiener processes, we would have time-deformed Wiener processes according to the variance profile of the errors through time; see, e.g., Cavaliere and Taylor (2007).”
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY (2007, background): “~see Cavaliere and Taylor, 2007! and 7Mxx, k * 7 vT, k 2 ~1!”
Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator (2012, methodology): “Following Cavaliere and Taylor (2007), the εt are unconditionally heteroscedastic.”
Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility (2008, methodology): “An important quantity in what follows is given by the following function of x( ) in C, termed the variance profile by Cavaliere and Taylor (2007): 2007 The Authors Journal compilation 2007 Blackwell Publishing Ltd. JOURNAL OF TIME SERIES ANALYSIS Vol. 29, No. 2 gðsÞ :¼ Z 1 0 xðrÞ2dr 1Z s 0 xðrÞ2dr:…”
Testing for unit roots in bounded time series (2014, background): “Unconditional heteroskedasticity, as considered by Cavaliere and Taylor (2007, 2008), can alter the large sample results given in this paper.”
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (2009, background): “This result constitutes a substantial generalization of previous results given by Cavaliere (2004) and Cavaliere and Taylor (2007) for the case of purely deterministic and nonexplosive volatility.”
Tests for explosive financial bubbles in the presence of non-stationary volatility☆ (2016, methodology): “of two discrete structural breaks in volatility, Cavaliere and Taylor (2008b) find that the HR test is now the most powerful of the four tests. Thus, when considered alongside the simulation results in Cavaliere and Taylor (2008b), the overall pattern of the results in Table 3 suggests that perhaps ”
TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND (2009, background): “Second, it would be interesting to extend our analysis to allow for structural change in other moments, such as the process variance, as considered by, inter alia, Cavaliere and Taylor (2007) and Cheng and Phillips (2008).”