BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY

By Giuseppe Cavaliere, Alan M. Taylor. Econometric Theory, 2007

153 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6dd7e7be7e8f91fe3398672600ae18cc06b65093

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Citations in the corpus

Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility (2010, unknown): “Similarly, Loretan and Phillips (1994) report evidence against the constancy of unconditional variances in stock market returns and exchange-rate data, while Hansen (1995) notes that empirical applications of autoregressive stochastic volatility models to nancial data generally estimate the dominan”
TFT-bootstrap: Resampling time series in the frequency domain to obtain replicates in the time domain (2011, background): “, Cavaliere and Taylor [7–9], Chang and Park [11], Park [45], Paparoditis and Politis [44] and the references therein).”
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (2009, methodology): “Cavaliere and Taylor (2008, 2009) show, respectively, that the wild bootstrap may also be used to construct robust versions of the M unit root tests of, among others, Ng and Perron (2001) in cases where the conditional volatility of the shocks, σT, T · , is a purely deterministic and strictly…”
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY (2010, unknown): “also been considered in the co-integration rank testing scenario by Cavaliere, Rahbek and Taylor (2007) [CRT] in the fundamentally di erent scenario where the innovations display non-stationary volatility; that is, cases where the unconditional variance of the innovation vector varies over time in a”
A Score Based Approach to Wild Bootstrap Inference (2012, unknown): “Perhaps for this reason, the applications and extensions of the wild bootstrap have largely been limited to linear models where residuals are straightforward to obtain; see for example Hardle and Mammen (1993) for nonparametric regression, You and Chen (2006) for partially linear regression, Davidso”
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.”