Unit root tests with a break in innovation variance

By Tae-Hwan Kim, S. Leybourne, P. Newbold. 2002

142 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/790441f4a707e173a7e2a50279784167e75e73f2

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

1. Alan M. Taylor
2. Giuseppe Cavaliere
3. Robert J. Taylor
4. Matei Demetrescu
5. Christoph Hanck
6. Ke-Li Xu
7. Peter C. B. Phillips
8. F. Busetti

In Finance

1. Giuseppe Cavaliere
2. Alan M. Taylor
3. Ke-Li Xu
4. Christoph Hanck
5. Matei Demetrescu
6. Robert J. Taylor
7. Peter C. B. Phillips
8. F. Busetti

Citations in the corpus

• Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility (2008, methodology): “The effects of a number of particular variance profiles on the M tests are quantified by Monte Carlo methods in Section 7.1; see also Hamori and Tokihisa (1997), Kim et al. (2002) and Cavaliere (2007).”
• Variance Shifts, Structural Breaks, and Stationarity Tests (2003, methodology): “Kim, Leybourne, and Newbold (2002) then suggested modi - cations of the ADF tests that have pivotal limiting null distributions, regardless of the structural break in the variance.”
• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS (2005, unknown): “Kwiatkowski et al. (1992) assume l/qT ? T- 1/2qq - 0 as T -- oo and k(x) := 1 x- x(lxl ' 1) (Bartlett weights).”
• Adaptive Estimation of Autoregressive Models with Time-Varying Variances (2008, background): “The effects of step breaks in the innovation variance on unit root tests and stationarity tests were studied by Hamori and Tokihisa (1997); Kim et al. (2002); Busetti and Taylor (2003) and Cavaliere (2004a).”
• Inference in Autoregression under Heteroskedasticity (2006, unknown): “Recently, studies have been undertaken to develop modified unit-root tests which are robust to the presence of unknown variance changes ( Kim et al., 2002; Cavaliere and Taylor, 2004; Beare, 2004).”
• Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator (2012, methodology): “We overcome this slight drawback by using shrinkage estimators of the covariance matrix such that the test works reliably for larger N. Alternatively, combining single-unit Cauchy statistics along the lines of Hartung (1999) leads to similarly reliable panel tests under heteroscedasticity.”
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY (2007, background): “1; see also Hamori and Tokihisa (1997), Kim et al. (2002), and Cav ali?re (2004).”