Variance Shifts, Structural Breaks, and Stationarity Tests

By F. Busetti, Robert Taylor. 2003

73 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c7827e0756122bd4548028acbfc9527d5e146182

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Citations in the corpus

STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS (2005, background): “…of whether or not the variability in the shocks driving macroeconomic time series has changed over time ~see, e+g+, the literature review in Busetti and Taylor, 2003!+ The empirical evidence suggests that a decline in volatility over the past 20 years or so is a common phenomenon in many…”
Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility (2008, background): “Applied researchers have recently focused attention on whether or not the variability in the shocks driving macro-economic time-series has changed over time; see, for example, the literature review in Busetti and Taylor (2003).”
Testing for a change in persistence in the presence of non-stationary volatility☆ (2008, background): “…volatility, in particular, single and multiple (possible smooth transition) breaks in volatility and/or (broken) trending volatility; see, inter alia, Busetti and Taylor (2003), Sensier and van Dijk (2004), Kim and Nelson (1999), McConnell and Perez Quiros (2000), and the references therein.”
Adaptive Estimation of Autoregressive Models with Time-Varying Variances (2008, background): “…two strands of the literatures mentioned above by providing a general framework to modeling nonparametric deterministic volatility in a stable linear AR(p) model, and develops an efficient estimation procedure that adapts for the presence of different and unknown forms of variance dynamics.”
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility (2010, unknown): “…volatility in the shocks driving macroeconomic time-series over the past twenty years or so is a relatively common phenomenon; see, inter alia , Busetti and Taylor (2003), Kim and Nelson (1999), McConnell and Perez Quiros (2000), van Dijk et al. (2002), Sensier and van Dijk (2004) and…”