HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
By Giuseppe Cavaliere, Alan M. Taylor. Econometric Theory, 2009
85 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/57bd8ed2c5124711a0d65292ca0aea84928fd09f
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Giuseppe Cavaliere
- Christoph Hanck
- Alan M. Taylor
- Matei Demetrescu
- David I. Harvey
- S. Leybourne
- Robert Sollis
- Fang Xu
In Finance
- Alan M. Taylor
- Giuseppe Cavaliere
- David I. Harvey
- S. Leybourne
- Christoph Hanck
- Fang Xu
- Robert Sollis
- Matei Demetrescu
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).”
- Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator (2012, background): “The intuition behind the corollary is that robustness to heteroskedasticity is obtained because the sign transformation discounts the large variability of the lagged level to either 1 or −1 irrespective of how the volatility changes in time. Remarkably, heteroskedasticity-consistent standard errors ”
- Testing for unit roots in bounded time series (2014, background): “As in Ferretti and Romo (1996), Chang and Park (2003) and Cavaliere and Taylor (2009), inter alia, this involves re-building stationary serial correlation into the MC innovations.”
- Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility (2018, unknown): “Table 1 of Phillips et al (2011) gives critical values of this distribution, but Harvey et al (2016) show that these are incorrect if the error process εt is not globally homoskedastic in the sense of Cavaliere and Taylor (2009). They propose a wild bootstrap procedure to correct for the size of the”
- Tests for explosive financial bubbles in the presence of non-stationary volatility☆ (2016, methodology): “Re-coloured versions of our bootstrap procedures, constructed along the lines considered in Cavaliere and Taylor (2009a), could therefore also be considered.”