Testing for Volatility Changes in U.S. Macroeconomic Time Series

By M. Sensier, Dick Van Dijk. Review of Economics and Statistics, 2004

259 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Estimating and Testing Structural Changes in Multivariate Regressions (2007, unknown): “sup k≥k1 ∥∥∥∥ ( 1 k k ∑ t=1 xtΣ̂ −1 (k)x ′ t )−1 − ( 1 k k ∑ t=1 xt(Σ )xt ∥∥∥∥ =Op(1)”
Instrumental variable and variable addition based inference in predictive regressions (2015, background): “Stock and Watson (2002), Sensier and van Dijk (2004) or Clark (2009).”
Testing for causality in variance in the presence of breaks (2004, background): “McConnell and Perez-Quiros (2000) and Sensier and van Dijk (2004) , among others.”