Testing for a change in persistence in the presence of non-stationary volatility☆

By Giuseppe Cavaliere, Alan M. Taylor. 2008

51 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/8abb5ba75fa707d9828ec44a36a54cc25bc30cc6

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. A. Halunga
2. C. Orme
3. Takashi Yamagata
4. Brantley Liddle
5. Perry Sadorsky

Citations in the corpus

• Structural breaks in time series (2013, unknown): “Cavaliere and Taylor (2008).”
• A heteroskedasticity robust Breusch–Pagan test for Contemporaneous correlation in dynamic panel data models (2017, background): “Third, HET2 is a trending volatility model, with it = 0 ( 1 0) t 1 T 1 ; see “Model 2” in Cavaliere and Taylor (2008), where 0 = 0:8 and 1 = 1:2. Fourth, HET3 is a conditional heteroskedasticity scheme, with it = p exp(czit), t = 1; :::; T ; this sort of skedastic function is discussed in Lima, Souz”